全球智库信息集成服务系统(G2TT): Measuring the Perceived Liquidity of the Corporate Bond Market

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w27092
来源ID	Working Paper 27092
	Measuring the Perceived Liquidity of the Corporate Bond Market
	Sergey Chernenko; Adi Sunderam
发表日期	2020-05-04
出版年	2020
语种	英语
摘要	We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross-sectional relationship between mutual fund cash holdings and fund flow volatility. Our measure captures how liquid funds perceive their portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is significantly lower than investment grade bonds in the cross section and deteriorated significantly following the 2008-9 financial crisis. Our measure can be applied in settings where either transaction data are not available or transactions are rare, including the markets for asset-backed securities, syndicated loans, and municipal bonds.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions
URL	https://www.nber.org/papers/w27092
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/584765
推荐引用方式 GB/T 7714	Sergey Chernenko,Adi Sunderam. Measuring the Perceived Liquidity of the Corporate Bond Market. 2020.