Asset Pricing Tests of Infrequently Traded Securities: The Case of Municipal Bonds
使用动态选择模型纠正样本选择偏差和不频繁交易问题，对市政债券进行多因子资产定价检验，发现流动性风险和税收是重要定价因素，且债券收益包含显著的流动性风险溢价。
Abstract Using a dynamic selection model, we obtain consistent and unbiased estimates of risk and returns for infrequently traded bonds and conduct the first comprehensive asset pricing test of municipal bonds using the multifactor approach. Correction for sample selection and infrequent trading problems results in substantially higher beta estimates. Besides conventional risk factors, illiquidity and taxes are important for the pricing of municipal bonds. Importantly, bond returns contain a significant liquidity risk premium. Failing to account for sample selection bias leads to erroneous inference on the magnitude of systematic risk and substantial underestimation of risk premiums.