Bond Illiquidity and Excess Volatility
研究发现公司债券和信用违约互换的波动率高于基于权益波动率和Merton模型的预测，这种过度波动主要源于非流动性而非基本面因素，对资产定价和风险管理有参考价值。
We find that the empirical volatilities of corporate bond and CDS returns are higher than implied by equity return volatilities and the Merton model. This excess volatility may arise because structural models inadequately capture either fundamentals or illiquidity. Our evidence supports the latter explanation. We find little relation between excess volatility and measures of firm fundamentals and the volatility of firm fundamentals but some relation with variables proxying for time-varying illiquidity. Consistent with an illiquidity explanation, firm-level bond portfolio returns, which average out bond-specific effects, significantly decrease excess volatility.