Investor Composition and the Liquidity Component in the U.S. Corporate Bond Market
研究发现自2005年以来，公司债券信用利差与二级市场非流动性之间的关联增强，短期投资者（如共同基金/ETF）的交易活动放大了二级市场摩擦对价格的影响，投资者构成的变化可定量解释这一趋势。
ABSTRACT The link between corporate bond credit spreads and secondary market illiquidity in the cross section has grown stronger since 2005, resulting in a higher liquidity component in credit spreads. Using U.S. investor holdings data, we show that short‐term investors (e.g., mutual funds/exchange‐traded funds [ETFs]) increase trading activities in the secondary market, amplifying the effect of secondary market frictions on prices. We provide a model featuring heterogeneous investors with different trading needs and heterogeneous bonds to investigate the impact of the rapid‐growing mutual fund/ETF sector on the corporate bond market. We find the change in investor composition can quantitatively explain the aggregate trend.