The illiquidity component of corporate bond spreads

Detalhes bibliográficos
Autor(a) principal: Dyskant, Lucas Bubman
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/19304
Resumo: We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than doubled in the US since the financial crisis of 2008. Longer bonds are substantially more illiquid than shorter bonds as one additional year in time to mature dries liquidity by 16%. We regress monthly cross-sectional corporate yield spreads on our return-based illiquidity measure, controlling for other variables such as the CDS spread and volatility. We find that a one standard deviation increase in illiquidity widens spreads by 26 basis points.
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spelling Dyskant, Lucas BubmanEscolas::EPGEFGVGonçalves, Edson Daniel LopesGlasman, Daniela KubudiSilva, André de Castro2017-12-08T17:08:53Z2017-12-08T17:08:53Z2017http://hdl.handle.net/10438/19304We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than doubled in the US since the financial crisis of 2008. Longer bonds are substantially more illiquid than shorter bonds as one additional year in time to mature dries liquidity by 16%. We regress monthly cross-sectional corporate yield spreads on our return-based illiquidity measure, controlling for other variables such as the CDS spread and volatility. We find that a one standard deviation increase in illiquidity widens spreads by 26 basis points.Nós encontramos que a iliquidez remanesce um importante fator explicativo em spreads de títulos corporativos. A iliquidez é menos importante somente do que o próprio risco de crédito. Este efeito é surpreendente dado que o volume de negociação de dívida privada mais do que dobrou nos EUA desde a crise financeira de 2008. Títulos longos são substancialmente mais ilíquidos do que títulos mais curtos, uma vez que um ano adicional na maturidade seca a liquidez em 16%. Nós regredimos cross-sections mensais de spreads de taxas privadas em nossa medida de iliquidez baseada em retornos, controlando por outro fatores como o CDS e a volatilidade. Nós encontramos que um aumento de um desvio padrão na iliquidez aumenta os spreads em 26 pontos-base.engCorporate bondsIlliquiditySpreadsFinançasTítulos (Finanças)Liquidez (Economia)DebênturesTaxa interna de retornoThe illiquidity component of corporate bond spreadsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTEPGE - Final.pdf.txtEPGE - Final.pdf.txtExtracted texttext/plain68847https://repositorio.fgv.br/bitstreams/7b5f1f98-8159-42b2-96c2-0b31d5e33b7f/download4c989a4856668554ec052eaa313139f9MD58ORIGINALEPGE - Final.pdfEPGE - Final.pdfapplication/pdf765762https://repositorio.fgv.br/bitstreams/db5d76cd-6718-49f7-abc6-31f6a4452c71/download516f76f53430680a81d511305bdde1beMD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv The illiquidity component of corporate bond spreads
title The illiquidity component of corporate bond spreads
spellingShingle The illiquidity component of corporate bond spreads
Dyskant, Lucas Bubman
Corporate bonds
Illiquidity
Spreads
Finanças
Títulos (Finanças)
Liquidez (Economia)
Debêntures
Taxa interna de retorno
title_short The illiquidity component of corporate bond spreads
title_full The illiquidity component of corporate bond spreads
title_fullStr The illiquidity component of corporate bond spreads
title_full_unstemmed The illiquidity component of corporate bond spreads
title_sort The illiquidity component of corporate bond spreads
author Dyskant, Lucas Bubman
author_facet Dyskant, Lucas Bubman
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Gonçalves, Edson Daniel Lopes
Glasman, Daniela Kubudi
dc.contributor.author.fl_str_mv Dyskant, Lucas Bubman
dc.contributor.advisor1.fl_str_mv Silva, André de Castro
contributor_str_mv Silva, André de Castro
dc.subject.eng.fl_str_mv Corporate bonds
Illiquidity
Spreads
topic Corporate bonds
Illiquidity
Spreads
Finanças
Títulos (Finanças)
Liquidez (Economia)
Debêntures
Taxa interna de retorno
dc.subject.area.por.fl_str_mv Finanças
dc.subject.bibliodata.por.fl_str_mv Títulos (Finanças)
Liquidez (Economia)
Debêntures
Taxa interna de retorno
description We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than doubled in the US since the financial crisis of 2008. Longer bonds are substantially more illiquid than shorter bonds as one additional year in time to mature dries liquidity by 16%. We regress monthly cross-sectional corporate yield spreads on our return-based illiquidity measure, controlling for other variables such as the CDS spread and volatility. We find that a one standard deviation increase in illiquidity widens spreads by 26 basis points.
publishDate 2017
dc.date.accessioned.fl_str_mv 2017-12-08T17:08:53Z
dc.date.available.fl_str_mv 2017-12-08T17:08:53Z
dc.date.issued.fl_str_mv 2017
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/19304
url http://hdl.handle.net/10438/19304
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
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instacron:FGV
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institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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