The illiquidity component of corporate bond spreads
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://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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Dyskant, Lucas BubmanEscolas::EPGEFGVGonçalves, Edson Daniel LopesGlasman, Daniela KubudiSilva, André de Castro2017-12-08T17:08:53Z2017-12-08T17:08:53Z2017https://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 bondsIlliquiditySpreadsEconomiaTítulos (Finanças)Liquidez (Economia)DebênturesTaxa interna de retornoThe illiquidity component of corporate bond spreadsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTEPGE - Final.pdf.txtEPGE - Final.pdf.txtExtracted texttext/plain67845https://repositorio.fgv.br/bitstreams/fd2a89ef-f0a6-45b9-8bdc-7e7dd5fe6b59/download4af1de5609c31071e3dd9eb4dc0b0a2dMD55ORIGINALEPGE - Final.pdfEPGE - Final.pdfPDFapplication/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 Economia 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 Economia Títulos (Finanças) Liquidez (Economia) Debêntures Taxa interna de retorno |
dc.subject.area.por.fl_str_mv |
Economia |
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 |
https://hdl.handle.net/10438/19304 |
url |
https://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 |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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