Corporate bond liquidity before and after the onset of the subprime crisis

• 成果类型: Article
• 署名作者: Dick-Nielsen, Jens; Feldhutter, Peter; Lando, David
• 署名单位: Copenhagen Business School; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.10.009
• 发表日期: 2012
• 页码: 471-492
• 关键词: Corporate bonds; liquidity; liquidity risk; Subprime crisis

摘要

We analyze liquidity components of corporate bond spreads during 2005-2009 using a new robust illiquidity measure. The spread contribution from illiquidity increases dramatically with the onset of the subprime crisis. The increase is slow and persistent for investment grade bonds while the effect is stronger but more short-lived for speculative grade bonds. Bonds become less liquid when financial distress hits a lead underwriter and the liquidity of bonds issued by financial firms dries up under crises. During the subprime crisis, flight-to-quality is confined to AAA-rated bonds. (C) 2011 Elsevier B.V. All rights reserved.