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LIQUIDITY, CREDIT RISK AND PRICING OF CORPORATE BOND (2007)
| Content Provider | CiteSeerX |
|---|---|
| Author | Sun, Xiaoli Xiaoli, Sun |
| Abstract | Employing a comprehensive database on transactions of corporate bonds issued by corporations, agencies and financial institutions, we compare the different liquidity measures—bid-ask spread, zero-return percentage, Amihud illiquidity factor for the corporate bond market. The criteria of judging is based on the explanatory power of different liquidity measures in determining yield spread over the benchmark curve (equivalent-maturity Treasury bond or notes). The conclusion is that liquidity plays a role in determining corporate bond yield spread. There are significant differences in the explanatory power of the different liquidity measures; among the liquidity measures, zero-return percentage works best. Preliminary findings, based on the mean correlation analysis and portfolios approach, give the intuitive results of suggesting that zero-return percentage is a better predictor of yields spread than the other liquidity measures—bid-ask spread and Amihud illiquidity factor. Controlling the effect of credit rating, the zero-return percentage |
| File Format | |
| Publisher Date | 2007-01-01 |
| Access Restriction | Open |
| Subject Keyword | Liquidity Measure Bid-ask Spread Yield Spread Different Liquidity Measure Bid-ask Spread Liquidity Measure Corporate Bond Yield Spread Different Liquidity Measure Credit Rating Corporate Bond Comprehensive Database Intuitive Result Corporate Bond Market Portfolio Approach Zero-return Percentage Equivalent-maturity Treasury Bond Mean Correlation Analysis Benchmark Curve Amihud Illiquidity Factor Credit Risk Pricing Corporate Bond |
| Content Type | Text |
