新债券发行如何影响债券组合的流动性

Fan Chen, Duane R. Stock
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引用次数: 0

摘要

以往描述公司债券流动性的研究往往侧重于债券年龄、债券信用风险、发行规模和交易监管等因素对流动性的影响。文章指出,许多公司在以前的债券仍然未偿付的情况下发行债券,并研究了新债券的发行如何影响现有公司债券的流动性。人们可能会预期,由于发行的非常相似的债券数量增加或公司公开信息的增加,现有债券的流动性会有所改善。然而,投资银行家可能会积极推销新发行的债券,这可能会减少现有债券的流动性。文章得出结论,前者的影响占主导地位,当新发行的债券比现有债券的到期日更长时,流动性的改善更为显著。关键发现▪ 当公司发行新债券时,原有债券的流动性往往会增加。▪ 当新债券发行的到期日比现有债券的到期日更长时,流动性的增加往往会更强。▪ 当已有债券的流动性因新发行而增加时,这种影响是暂时的,并随着时间的推移而减弱。
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How a New Bond Issuance Affects the Liquidity of a Bond Portfolio
Previous research describing corporate bond liquidity tends to focus on the effects on liquidity of factors such as bond age, bond credit risk, size of issuance, and regulation of trading. The article notes that many firms issue bonds when previous bonds are still outstanding and also examines how the new bond issuance affects the liquidity of the preexisting corporate bonds. One might expect the liquidity of the preexisting bonds to improve because of the greater quantity of very similar bonds outstanding or the increase in public information about the firm. However, investment bankers may aggressively market the new issuance, which may diminish the liquidity of the preexisting bonds. The article concludes that the former effect dominates and that the improvement in liquidity is more significant when newly issued bonds offer a longer maturity than preexisting bonds. Key Findings ▪ The liquidity of preexisting bonds tends to increase when a new bond issuance by the firm becomes available. ▪ The increase in liquidity as a result of a new bond issuance tends to be stronger when its maturity is longer relative to that of preexisting bonds. ▪ When the liquidity of preexisting bonds increases in response to a new issuance, the effect is temporary and diminishes over time.
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
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.
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