Capital Commitment and Illiquidity in Corporate Bonds

• 成果类型: Article
• 署名作者: Bessembinder, Hendrik; Jacobsen, Stacey; Maxwell, William; Venkataraman, Kumar
• 署名单位: Arizona State University; Arizona State University-Tempe; Southern Methodist University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12694
• 发表日期: 2018
• 页码: 1615-1661
• 关键词: trading costs; liquidity; MARKET; TRANSPARENCY; search; CRISIS; RISK

摘要

We study trading costs and dealer behavior in U.S. corporate bond markets from 2006 to 2016. Despite a temporary spike during the financial crisis, average trade execution costs have not increased notably over time. However, dealer capital commitment, turnover, block trade frequency, and average trade size decreased during the financial crisis and thereafter. These declines are attributable to bank-affiliated dealers, as nonbank dealers have increased their market commitment. Our evidence indicates that liquidity provision in the corporate bond markets is evolving away from the commitment of bank-affiliated dealer capital to absorb customer imbalances, and that postcrisis banking regulations likely contribute.