Size-adapted bond liquidity measures and their asset pricing implications

• 成果类型: Article
• 署名作者: Reichenbacher, Michael; Schuster, Philipp
• 署名单位: Helmholtz Association; Karlsruhe Institute of Technology; University of Stuttgart
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.07.010
• 发表日期: 2022
• 页码: 425-443
• 关键词: Bond liquidity; transaction costs; Bid-ask spread; Trade size; asset pricing; Rating downgrades

摘要

We develop new liquidity measures for bond markets. Existing measures suffer from the combination of two effects. First, transaction costs in OTC markets strongly depend on trade size. Second, many bonds trade only scarcely with strongly differing trading vol-umes. Therefore, changes in average transaction costs often indicate changing trade sizes rather than changing liquidity. We combine full-sample information for the size-cost re-lation with individual transaction data to eliminate such measurement problems. We find that size-adapted measures make a difference when analyzing liquidity dynamics in the U.S. corporate bond market, liquidity differences between bonds, and the asset pricing im-plications of liquidity.(c) 2022 Elsevier B.V. All rights reserved.