The Illiquidity of Corporate Bonds

• 成果类型: Article
• 署名作者: Bao, Jack; Pan, Jun; Wang, Jiang
• 署名单位: University System of Ohio; Ohio State University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01655.x
• 发表日期: 2011
• 页码: 911-946
• 关键词: BID-ASK SPREAD; Yield spreads; liquidity; MARKET; TRANSPARENCY; returns; COSTS; RISK

摘要

This paper examines the illiquidity of corporate bonds and its asset-pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid-ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market-level illiquidity explain a substantial part of the time variation in yield spreads of high-rated (AAA through A) bonds, overshadowing the credit risk component. In the cross-section, the bond-level illiquidity measure explains individual bond yield spreads with large economic significance.