Desislava Vladimirova, Dirk Schiereck, Maximilian Stroh
{"title":"新兴市场企业债务的流动性管理","authors":"Desislava Vladimirova, Dirk Schiereck, Maximilian Stroh","doi":"10.3905/jfi.2023.1.159","DOIUrl":null,"url":null,"abstract":"Emerging market corporate bonds are perceived to offer attractive diversification potential and risk-adjusted returns, but to be illiquid. This study expands the empirical evidence by examining the liquidity of emerging market debt by solving a triangular structured system. We find emerging market bond liquidity both to share common determinants with developed markets and be influenced by macroeconomic factors. As the overall level of liquidity is lower than in developed markets, we propose a liquidity estimation model, which allows systematic factor investors to decrease the share of illiquid assets in their portfolio by roughly 3 percentage points and 10 percentage points during the COVID-19 pandemic.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"220 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Managing Liquidity of Emerging Markets Corporate Debt\",\"authors\":\"Desislava Vladimirova, Dirk Schiereck, Maximilian Stroh\",\"doi\":\"10.3905/jfi.2023.1.159\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Emerging market corporate bonds are perceived to offer attractive diversification potential and risk-adjusted returns, but to be illiquid. This study expands the empirical evidence by examining the liquidity of emerging market debt by solving a triangular structured system. We find emerging market bond liquidity both to share common determinants with developed markets and be influenced by macroeconomic factors. As the overall level of liquidity is lower than in developed markets, we propose a liquidity estimation model, which allows systematic factor investors to decrease the share of illiquid assets in their portfolio by roughly 3 percentage points and 10 percentage points during the COVID-19 pandemic.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"220 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-03-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jfi.2023.1.159\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2023.1.159","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Managing Liquidity of Emerging Markets Corporate Debt
Emerging market corporate bonds are perceived to offer attractive diversification potential and risk-adjusted returns, but to be illiquid. This study expands the empirical evidence by examining the liquidity of emerging market debt by solving a triangular structured system. We find emerging market bond liquidity both to share common determinants with developed markets and be influenced by macroeconomic factors. As the overall level of liquidity is lower than in developed markets, we propose a liquidity estimation model, which allows systematic factor investors to decrease the share of illiquid assets in their portfolio by roughly 3 percentage points and 10 percentage points during the COVID-19 pandemic.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.