发行人部分债券到期后债券流动性如何？

Journal of Fixed Income Pub Date : 2023-06-20 DOI:10.3905/jfi.2023.1.162

Duane R. Stock, Runzu Wang

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引用次数: 0

摘要

债券投资组合经理经常担心其投资组合的流动性。假设一个债券投资组合经理持有某一特定公司的债券，该公司有许多到期未偿还的债券。假设一些发行公司的债券到期。公司剩余债券的流动性会变强还是变弱?作者分析了公司债券到期对公司剩余债券流动性的影响，其中未偿债券数量的减少表明流动性的潜在减少。或者，由于未偿债券数量的减少而导致的杠杆降低可能会改善公司的信贷质量并导致更大的流动性。他们的结果强烈表明前者，即削减的力度取决于到期美元金额与总债务的比率。研究结果对如何对冲利率变化对投资组合的影响具有重要意义。

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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What Happens to Bond Liquidity When Some Bonds of the Issuer Mature?

Bond portfolio managers constantly worry about the liquidity of their portfolio. Consider a bond portfolio manager holding bonds of a particular firm that has numerous maturities outstanding. Assume that some of the issuing firm’s bonds mature. Do the firm’s remaining bonds become more liquid or less liquid? The authors analyze the impact of the maturity of a firm’s bonds on the liquidity of the firm’s remaining bonds, where a reduction in the number of bonds outstanding suggests a potential reduction in liquidity. Alternatively, the leverage reduction due to the reduction in the number of bonds outstanding may improve the firm’s credit quality and result in greater liquidity. Their results strongly suggest the former where the strength of reduction depends on the ratio of the USD amount matured to total debt. The results have important implications for how to hedge the portfolio against interest changes.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.