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Liquidity risk and expected corporate bond returns

机译：流动资金风险及预期公司债券回报

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摘要

This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the period from January 1994 to March 2009. The average return on bonds with high sensitivities to aggregate liquidity exceeds that for bonds with low sensitivities by about 4% annually. The positive relation between expected corporate bond returns and liquidity beta is robust to the effects of default and term betas, liquidity level, and other bond characteristics, as well as to different model specifications, test methodologies, and a variety of liquidity measures. The results suggest that liquidity risk is an important determinant of expected corporate bond returns.
机译：本文研究了1994年1月至2009年3月公司债券横截面的流动性风险定价。对总体流动性敏感度高的债券的平均收益每年比敏感度低的债券的平均收益大约高4％。预期公司债券收益率和流动性beta之间的正相关关系对违约和期限beta，流动性水平和其他债券特征以及不同的模型规格，测试方法和各种流动性度量的影响均很稳健。结果表明，流动性风险是预期公司债券收益的重要决定因素。

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  • 来源
    《Journal of financial economics》 |2011年第3期|p.628-650|共23页
  • 作者

    Hai Lin; Junbo Wang; Chunchi Wu;

  • 作者单位

    Department of Finance & Quantitative Analysis, University of Otago, PO Box 56, Dunedin 9054, New Zealand Department of Finance & Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, China;

    College of Business, City University of Hong Kong, Kowloon, Hong Kong, SAR, China;

    School of Management, State University of New York at Buffalo, Buffalo, New York 14260, USA;

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  • 正文语种 eng
  • 中图分类
  • 关键词

    liquidity risk; default and term beta; bond pricing; flight-to-quality;

    机译：流动风险;默认和期限Beta;债券定价;追求质量;

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