Search friction, liquidity risk, and bond misallocation

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-09-01 DOI:10.1016/j.finmar.2024.100912

引用次数: 0

Abstract

Search friction is a key driver of changes in corporate bond yield spreads over time. In the cross-section, the liquidity risk stemming from search friction is significantly priced, and is strongly correlated with the misallocation of bond positions among different traders. I propose a novel measure of bond-specific misallocation, which is the negative covariance between traders’ private valuations and their inventory positions for each bond. I find that bonds with higher levels of misallocation are associated with lower absolute levels of liquidity risk from search friction. I develop a search-and-matching model to explain this correlation.

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搜索摩擦、流动性风险和债券错配

搜索摩擦是公司债券收益率利差随时间变化的主要驱动因素。在横截面上，搜索摩擦导致的流动性风险被显著定价，并与不同交易者之间的债券仓位错配密切相关。我提出了一种新的衡量债券错配的方法，即交易者对每种债券的私人估值与其库存头寸之间的负协方差。我发现，错配程度较高的债券与搜索摩擦造成的流动性风险绝对水平较低有关。我建立了一个搜索匹配模型来解释这种相关性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.