| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25054 |
| 来源ID | Working Paper 25054 |
| Debt, Information, and Illiquidity | |
| Efraim Benmelech; Nittai Bergman | |
| 发表日期 | 2018-09-17 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We analyze the empirical determinants of liquidity in debt markets in light of predictions stemming from debt-based information theories. We conduct a battery of tests confirming predictions of asymmetric information models of bond liquidity, including those that predict a``hockey-stick" relation between bond liquidity and underlying fundamental value. When debt is deep in the money, it becomes informationally insensitive and more liquid. In contrast, when firm value deteriorates towards the left tail, the value of debt becomes informationally sensitive and less liquid. We alleviate endogeneity concerns using exogenous variation in firm value that is plausibly not driven by bond liquidity. Our results shed new empirical light on the determination of liquidity in debt markets. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w25054 |
| 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/582728 |
| 推荐引用方式 GB/T 7714 | Efraim Benmelech,Nittai Bergman. Debt, Information, and Illiquidity. 2018. |
| 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 | ||
| w25054.pdf（742KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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