REVIEW OF FINANCIAL STUDIES·DOI: https://doi.org/10.1093/rfs/hhx005·Published: 11 March 2017

用资产定价方法研究公司债券市场中的流动性效应

作者：Dion Bongaerts (Rotterdam School of Management, Erasmus University), Frank de Jong (Tilburg University), Joost Driessen (Tilburg University)

摘要：我们使用资产定价方法来比较流动性水平和流动性风险对美国公司债券预期收益的影响。我们使用签名的交易数据，通过重复销售的方法估计了债券投资组合的有效交易成本。 我们发现，流动性水平和股票市场流动性风险的暴露程度会影响债券预期收益。相比之下，暴露于公司债券流动性冲击的风险溢价在经济上是可忽略的。仿真研究表明，我们的结果不太可能是由betas或多重共线性的测量误差驱动的。我们提出了一个解释这些发现的简单理论模型。

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Dion Bongaerts (Rotterdam School of Management, Erasmus University), Frank de Jong (Tilburg University), Joost Driessen (Tilburg University)

ABSTRACT

We use an asset pricing approach to compare the effects of the liquidity level and liquidity risk on expected U.S. corporate bond returns. Using signed transaction data, we estimate effective transaction costs for bond portfolios by a repeat-sales method. We find that the liquidity level and exposure to equity market liquidity risk affect expected bond returns. In contrast, exposure to corporate bond liquidity shocks carries an economically negligible risk premium. A simulation study shows that it is unlikely that our results are driven by measurement error in betas or multicollinearity. We present a simple theoretical model that explains these findings.

原文链接：

https://academic.oup.com/rfs/article-abstract/doi/10.1093/rfs/hhx005/2966375/An-Asset-Pricing-Approach-to-Liquidity-Effects-in?redirectedFrom=fulltext

翻译：何杉