Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market
研究了流动性及投资者对流动性的不同偏好如何共同影响资产定价，发现保险公司持有的公司债券组合流动性差异大且持久，与投资期限和资金约束相关，且流动性客户效应会压低债券的流动性溢价。
This paper examines how liquidity and investors’ heterogeneous liquidity preferences interact to affect asset pricing. Using data on insurers’ corporate bond holdings, we find that illiquidity of corporate bond portfolios varies widely and persistently across insurers and is related to insurers’ investment horizon and funding constraint, consistent with the notion of liquidity clientele. We further find that liquidity clientele affects corporate bond prices—specifically, liquidity premia are lower among corporate bonds heavily held by investors with weaker preference for liquidity. This paper was accepted by Neng Wang, finance.