Comparing Possible Proxies of Corporate Bond Liquidity
Comparing Possible Proxies of Corporate Bond Liquidity
复制标题
比较公司债券流动性的可能替代指标
DOI：
10.2139/ssrn.307419
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发表时间：
2003
期刊：
影响因子：
--
通讯作者：
T. Vorst
中科院分区：
文献类型：
--
作者：
P. Houweling;A. Mentink;T. Vorst
我们考虑了8个不同的指标(发行量、票面利率、上市价格、年龄、缺失价格、收益率波动性、贡献者数量和收益率差)来衡量公司债券的流动性，并使用一个五变量模型来控制债券之间的利率风险、信用风险、期限、评级和货币差异。我们的欧元公司债券数据集中没有计入流动性风险的零假设，在我们的8个流动性指标中，有7个被拒绝了。我们发现流动性溢价很大，从9个基点到24个基点不等。流动性代理之间的比较测试显示，这些代理之间的差异有限。
We consider eight different proxies (issued amount, coupon, listed, age, missing prices, yield volatility, number of contributors and yield dispersion) to measure corporate bond liquidity and use a five-variable model to control for interest rate risk, credit risk, maturity, rating and currency differences between bonds. The null hypothesis that liquidity risk is not priced in our data set of euro corporate bonds is rejected for seven out of eight liquidity proxies. We find significant liquidity premia, ranging from 9 to 24 basis points. A comparison test between liquidity proxies shows limited differences between the proxies.