| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16394 |
| 来源ID | Working Paper 16394 |
| Liquidity Risk of Corporate Bond Returns: A Conditional Approach | |
| Viral V. Acharya; Yakov Amihud; Sreedhar T. Bharath | |
| 发表日期 | 2010-09-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity produces significant but conflicting effects: Prices of investment-grade bonds rise while prices of speculative-grade (junk) bonds fall substantially (relative to the market). Relating the probability of these regimes to macroeconomic conditions we find that the second regime can be predicted by economic conditions that are characterized as "stress." These effects, which are robust to controlling for other systematic risks (term and default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to liquidity. Our model can predict the out-of-sample bond returns for the stress years 2008 - 2009. We find a similar pattern for stocks classified by high or low book-to-market ratio, where again, liquidity shocks play a special role in periods characterized by adverse economic conditions. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w16394 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574069 |
| 推荐引用方式 GB/T 7714 | Viral V. Acharya,Yakov Amihud,Sreedhar T. Bharath. Liquidity Risk of Corporate Bond Returns: A Conditional Approach. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16394.pdf（1555KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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