Internal Liquidity Risk in Corporate Bond Credit Spreads

摘要：

The determinants of a substantial portion of bond credit spreads remain puzzled in literature. Through investigating corporate bond credit spreads from year 2000 to 2005, we find that corporate internal liquidity still significantly impacts on corporate bond credit spreads when controlling other well-known variables stated in literature. Additionally, we also find that there is a systematic internal liquidity risk factor which can capture market-wide bond credit spread changes to a large extent. It reveals that corporate internal liquidity risk should be incorporated into bond credit modeling.

关键词： Internal liquidity Credit spread

作者: Hsien-hsing Liao Pei-Ling Tsai

作者单位: Department of Finance,National Taiwan University Rm.814,Building ＃2,College of Management,National T Taiwan Cooperative Bank

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-47

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）