Internal Liquidity Risk in Corporate Bond Yield Spreads

Internal Liquidity Risk in Corporate Bond Yield Spreads
Author: Hsien-Hsing Liao
Publisher:
Total Pages: 64
Release: 2010
Genre:
ISBN:


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The recent global financial crisis reveals the important role of internal liquidity risk in corporate credit risk. However, hardly have any existing studies investigated its effects on bond yield spreads. This study employs both bond- and market-level data to address the issue. Bond-level results show that corporate internal liquidity volatility significantly impacts bond yield spreads when controlling for well-known variables, traditional accounting measures of corporate debt servicing ability and an additional structural form credit risk measure (the cash flow volatility). Further, this study finds that a systematic internal liquidity risk factor can materially capture market-wide bond yield spread changes. Market-level results also show that market-level internal liquidity risk significantly explains the spreads of bond indexes when controlling for factors of bond and equity markets and other major macro state variables. We conclude that internal liquidity risk should be incorporated into bond yield spread modeling.


Internal Liquidity Risk in Corporate Bond Yield Spreads
Language: en
Pages: 64
Authors: Hsien-Hsing Liao
Categories:
Type: BOOK - Published: 2010 - Publisher:

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The recent global financial crisis reveals the important role of internal liquidity risk in corporate credit risk. However, hardly have any existing studies inv
Liquidity Patterns in the U.S. Corporate Bond Market
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Pages: 36
Authors: Stephanie Heck
Categories:
Type: BOOK - Published: 2018 - Publisher:

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Liquidity level and liquidity risk are priced in the cross-section of corporate bond yields and returns. In the first case the focus is on the individual liquid
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Language: en
Pages: 57
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Categories:
Type: BOOK - Published: 2016 - Publisher:

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We examine the impact of individual stock liquidity on corporate bond yield spreads in the U.S. market. By extending the endogenous-default model to include sto
Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads
Language: en
Pages: 66
Authors: Song Han
Categories:
Type: BOOK - Published: 2008 - Publisher:

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Feedback Between Credit and Liquidity Risk in the US Corporate Bond Market
Language: en
Pages: 81
Authors: Rob C. Sperna Weiland
Categories:
Type: BOOK - Published: 2017 - Publisher:

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We analyze the dynamic interactions between credit and liquidity risk and their impact on bond prices and risk. We propose a novel way of modeling credit-liquid