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首页> 外文期刊>Journal of financial economics >Liquidity risk of corporate bond returns: conditional approach
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Liquidity risk of corporate bond returns: conditional approach

机译：公司债券收益的流动性风险：条件方法

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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.
机译：我们采用制度转换模型研究了1973-2007年间美国公司债券收益对股票和美国国债流动性冲击的风险。在一种情况下，流动性冲击对债券价格的影响微乎其微，而在另一种情况下，非流动性的上升则产生了明显但相互矛盾的影响：投资级债券的价格上涨而投机级（垃圾）债券的价格大幅下跌（相对去市场）。将这些制度的可能性与宏观经济状况联系起来，我们发现第二种制度可以通过特征为“压力”的经济状况进行预测。这些效应对于控制其他系统风险（期限和违约）具有鲁棒性，表明存在以逃避流动性为条件的公司债券收益随时间变化的流动性风险的存在。我们的模型可以预测2008-2009年压力年份的样本外债券收益率。对于按市销率高或低划分的股票，我们发现了类似的模式，在这种情况下，流动性冲击在经济状况不利的时期起着特殊的作用。

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