The Illiquidity of Corporate Bonds
利用2003-2009年交易数据，发现公司债券非流动性远超买卖价差解释范围，且市场层面非流动性变化对高评级债券利差的时间变动解释力超过信用风险，债券层面非流动性对个体债券利差有显著经济影响。
ABSTRACT This paper examines the illiquidity of corporate bonds and its asset‐pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid–ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market‐level illiquidity explain a substantial part of the time variation in yield spreads of high‐rated (AAA through A) bonds, overshadowing the credit risk component. In the cross‐section, the bond‐level illiquidity measure explains individual bond yield spreads with large economic significance.