Liquidity risk of corporate bond returns: conditional approach

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T.
• 署名单位: New York University; Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research; Centre for Economic Policy Research - UK; European Corporate Governance Institute
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.08.002
• 发表日期: 2013
• 页码: 358-386
• 关键词: LIQUIDITY RISK; credit spreads; default; recession; Flight to liquidity

摘要

We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973-2007 in a regime-switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity produces significant but conflicting effects: Prices of investment-grade bonds rise while prices of speculative-grade (junk) bonds fall substantially (relative to the market). Relating the probability of these regimes to macroeconomic conditions we find that the second regime can be predicted by economic conditions that are characterized as stress. These effects, which are robust to controlling for other systematic risks (term and default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to liquidity. Our model can predict the out-of-sample bond returns for the stress years 2008-2009. We find a similar pattern for stocks classified by high or low book-to-market ratio, where again, liquidity shocks play a special role in periods characterized by adverse economic conditions. (C) 2013 Elsevier B.V. All rights reserved.