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An Analysis of the Clientele E ect in the Corporate Bond Market
发布时间:2013-6-24 来源:本站原创  


本周二(6月25日)上午 10:00学术讲座通知:

 

主讲人:Tong Yao,  University of Iowa

主页:http://tippie.uiowa.edu/people/profile/profile.aspx?id=353607

 

演讲题目:Liquidity Premium in the Eye of the Beholder:

An Analysis of the Clientele E ect in the Corporate Bond Market

 

讲座语言:英语/中文

 

地点:武东路100号毓秀楼208

 

Abstract:

This paper examines how liquidity and the heterogeneous liquidity preferences of investors

interact to a ect asset pricing, known as the liquidity clientele e ect. We use detailed corporate

bond holdings by insurance 

rms as well as measures of corporate bond liquidity to

quantify investors' liquidity preference. We 

nd a wide dispersion of liquidity preference

across investors. Such liquidity preferences persist over time and, importantly, are related

to characteristics associated with investment horizons. Further, among corporate bonds

heavily held by investors with strong preference for liquidity, there is a strong liquidity premium

e ect|namely, bonds with higher illiquidity command higher yield spreads; however,

the liquidity premium is substantially lower among bonds heavily held by investors with

a penchant for illiquidity. Our 

ndings provide support to the liquidity clientele e ect, a

long-standing conjecture in the asset pricing theory of liquidity.

 

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