Does the Liquidity of a Debt Issue Increase with Its Size? Evidence from the Corporate Bond and Medium-Term Note Markets
通过比较公司债券和中期票据的收益率，检验大额发行是否更具流动性。研究发现，同一发行人发行的大额和小额证券收益率无显著差异，表明它们是近似替代品。
To investigate the liquidity of large issues, this study tests for yield differences between corporate bonds and medium-term notes (MTNs). In the sample, MTNs have an average issue size of $4 million, compared with $265 million for bonds. Among MTNs that have the same issuance date, the same maturity date, and the same corporate issuer, we find no relation between size and yields. Moreover, bonds and MTNs have statistically equivalent yields. Thus, rather than suggesting that large issues have greater liquidity, these findings indicate that large and small securities issued by the same borrower are close substitutes.