Stock liquidity and corporate bond yield spreads: Theory and evidence

Henry H. Huang, Hung Yi Huang, Jeffrey J. Oxman

研究成果: 雜誌貢獻期刊論文同行評審

13 引文 斯高帕斯(Scopus)

摘要

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 stock liquidity in the calculation of bond value we show that a drop in stock liquidity will increase the firm's credit risk by increasing the firm's default boundary, leading to an increase of the credit spread. Our model is consistent with the sharp increase in credit risk premiums and the "yield spread spike" phenomenon in corporate bond markets during the financial crisis. We present empirical evidence supportive of our model.

原文???core.languages.en_GB???
頁(從 - 到)59-91
頁數33
期刊Journal of Financial Research
38
發行號1
DOIs
出版狀態已出版 - 1 3月 2015

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