Liquidity risk and expected corporate bond returns

• 成果类型: Article
• 署名作者: Lin, Hai; Wang, Junbo; Wu, Chunchi
• 署名单位: State University of New York (SUNY) System; University at Buffalo, SUNY; University of Otago; Xiamen University; Xiamen University; City University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.10.004
• 发表日期: 2011
• 页码: 628-650
• 关键词: LIQUIDITY RISK; Default and term beta; Bond pricing; Flight-to-quality

摘要

This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the period from January 1994 to March 2009. The average return on bonds with high sensitivities to aggregate liquidity exceeds that for bonds with low sensitivities by about 4% annually. The positive relation between expected corporate bond returns and liquidity beta is robust to the effects of default and term betas, liquidity level, and other bond characteristics, as well as to different model specifications, test methodologies, and a variety of liquidity measures. The results suggest that liquidity risk is an important determinant of expected corporate bond returns. (C) 2010 Elsevier B.V. All rights reserved.