Earticle

초록

영어

We show that illiquid bonds can become more expensive than liquid bonds with almost identical cash flows during market distress times. The economic mechanism behind the results is search frictions. When the search friction is high, marginal traders prefer to sell liquid bonds at lower prices than illiquid bonds because failure to find buyers can be costly. We empirically identify the reversed liquidity premium through within-issuer-date matching of bonds and the regression discontinuity design based on newly issued corporate bonds. In both the identification settings, we find that the yield differentials between illiquid and liquid bonds become negative during the market distress times. Using insurance company trades, we document transactionlevel evidence for the reversed liquidity premium for same-issuer bonds on the same day that are traded by the same insurer.

목차

Abstract
1 Introduction
2 An Illustration with a Simple Model
3 Data
3.1 Corporate Bond Data and Sample Construction
3.2 Key Variables
3.3 Summary Statistics
4 Reversed Liquidity Premium
4.1 Matching Same-issuer Bonds with Different Level of Liquidity
4.2 Regression Discontinuity Design
4.3 Search Frictions and Reversed Liquidity Premium
4.4 Same-customer Trades and Reversed Liquidity Premium: Evidence from Insurance Company
5 Conclusion
References
Table
Figure
Appendix

키워드

저자

• Jaewon Choi [ University of Illinois Urbana-Champaign, Department of Finance ]
• Jungsuk Han [ Seoul National University, Department of Finance ]
• Sean S. Shin [ Aalto University, Department of Finance ]
• Ji Hee Yoon [ University College London, Department of Economics and School of Management ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330