Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads
利用美国非金融企业商业票据交易数据，研究发现即使期限不足一个月，信用质量仍是极短期公司债利差的主要决定因素，流动性影响次之。
ABSTRACT Employing a comprehensive database on transactions of commercial paper issued by domestic U.S. nonfinancial corporations, we study the determinants of very short‐term corporate yield spreads. We find that liquidity plays a role in the determination of spreads but, somewhat surprisingly, credit quality is the more important determinant of spreads, even at horizons of less than 1 month. These results are robust across a variety of proxies for liquidity and credit risk, and have important implications for the literature on the modeling of corporate bond prices.