An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

• 成果类型: Article
• 署名作者: Bongaerts, Dion; de Jong, Frank; Driessen, Joost
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tilburg University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx005
• 发表日期: 2017
• 页码: 1229
• 关键词: BID-ASK SPREAD; Expected stock returns; Yield spreads; transaction costs; trading costs; cross-section; RISK; illiquidity; volatility; default

摘要

We use an asset pricing approach to compare the effects of the liquidity level and liquidity risk on expected U.S. corporate bond returns. Using signed transaction data, we estimate effective transaction costs for bond portfolios by a repeat-sales method. We find that the liquidity level and exposure to equity market liquidity risk affect expected bond returns. In contrast, exposure to corporate bond liquidity shocks carries an economically negligible risk premium. A simulation study shows that it is unlikely that our results are driven by measurement error in betas or multicollinearity. We present a simple theoretical model that explains these findings.