An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
用资产定价方法比较流动性水平和流动性风险对美国公司债券预期收益的影响，发现流动性水平和股票市场流动性风险影响预期收益，而公司债券流动性冲击的风险溢价可忽略。
We use an asset pricing approach to compare the effects of the liquidity level and liquidity risk on expected U.S. corporate bond returns. Using signed transaction data, we estimate effective transaction costs for bond portfolios by a repeat-sales method. We find that the liquidity level and exposure to equity market liquidity risk affect expected bond returns. In contrast, exposure to corporate bond liquidity shocks carries an economically negligible risk premium. A simulation study shows that it is unlikely that our results are driven by measurement error in betas or multicollinearity. We present a simple theoretical model that explains these findings.