Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market

• 成果类型: Article
• 署名作者: Chen, Xuanjuan; Huang, Jing-Zhi; Sun, Zhenzhen; Yao, Tong; Yu, Tong
• 署名单位: Shanghai University of Finance & Economics; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Massachusetts System; University Massachusetts Dartmouth; University of Iowa; University System of Ohio; University of Cincinnati
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3179
• 发表日期: 2020
• 页码: 932-957
• 关键词: corporate bond holdings; liquidity clientele; liquidity and spreads

摘要

This paper examines how liquidity and investors' heterogeneous liquidity preferences interact to affect asset pricing. Using data on insurers' corporate bond holdings, we find that illiquidity of corporate bond portfolios varies widely and persistently across insurers and is related to insurers' investment horizon and funding constraint, consistent with the notion of liquidity clientele. We further find that liquidity clientele affects corporate bond prices-specifically, liquidity premia are lower among corporate bonds heavily held by investors with weaker preference for liquidity.