极端非流动性与横截面公司债券回报率

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-03-01 DOI:10.1016/j.finmar.2024.100895

Xi Chen , Junbo Wang , Chunchi Wu , Di Wu

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引用次数: 0

摘要

公司债券具有极端流动性不足（EIL）溢价。这种溢价遍及所有评级类别，并在金融危机和高度不确定时期加剧。在横截面上，EIL 对至少一年以内的未来回报具有预测能力。共同基金等主动型投资者偏好低 EIL 债券，因为这些债券在压力时期很容易变现，而被动型机构投资者则偏好高 EIL 债券，以获得 EIL 溢价。虽然在因子模型中加入由投资组合构建的 EIL 因子可以提高解释能力，但其效果在很大程度上会被赛马中的债券级 EIL 所掩盖。

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Extreme illiquidity and cross-sectional corporate bond returns

Corporate bonds carry an extreme illiquidity (EIL) premium. This premium permeates all rating categories and heightens during financial crises and periods of high uncertainty. EIL has predictive power in the cross-section for future returns up to at least one year. Active investors like mutual funds prefer low EIL bonds that can be easily liquidated during times of stress, whereas passive institutional investors overweight high EIL bonds to receive the EIL premium. While adding an EIL factor constructed from portfolios to the factor model increases the explanatory power, its effect is largely subsumed by bond-level EIL in a horse race.

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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.