(In)Frequently traded corporate bonds and pricing implications of liquidity dry-ups

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-02-07 DOI:10.1016/j.frl.2025.106880

Alexey Ivashchenko

引用次数: 0

Abstract

I study the link between corporate bond trading activity and expected bond return. I show that many individual corporate bonds experience booms and busts of trading activity. Such (in)frequently traded bonds have higher expected returns following periods of active trading, alongside greater return volatility. Of two actively traded bonds, one with a history of trading activity dry-ups carries the expected return premium of 10-20 bps per month, controlling for bond credit risk and illiquidity characteristics. Therefore, it is not just the current state of illiquidity that impacts expected return but also the bond’s recent history of illiquidity fluctuations. I connect liquidity dry-ups with changes in bond institutional ownership, implying that the expected return and risk also depend on who owns the bonds.

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频繁交易的公司债券和流动性枯竭对定价的影响

我研究公司债券交易活动与预期债券回报之间的联系。我指出，许多单独的公司债券经历了交易活动的繁荣和萧条。这种频繁交易的债券在活跃交易期后预期回报更高，同时回报波动性更大。在两种交易活跃的债券中，有一种有交易活动枯竭的历史，在控制债券信用风险和非流动性特征的情况下，每月的预期回报溢价为10-20个基点。因此，影响预期收益的不仅是当前的非流动性状况，还有债券近期的非流动性波动历史。我将流动性枯竭与债券机构所有权的变化联系起来，这意味着预期回报和风险也取决于谁拥有债券。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance