Stock Liquidity and Corporate Bond Yield Spreads: Theory and Evidence
博士 === 國立中央大學 === 財務金融學系 === 103 === This dissertation examines the impacts of individual stock liquidity on corporate bond yield spreads in the U.S. market. By extending the endogenous-default model of He and Xiong (2012) to include stock liquidity in the calculation of the bond value, we show that...
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| Format: | Others |
| Language: | en_US |
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2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/f787jr |
| Summary: | 博士 === 國立中央大學 === 財務金融學系 === 103 === This dissertation examines the impacts of individual stock liquidity on corporate bond yield spreads in the U.S. market. By extending the endogenous-default model of He and Xiong (2012) to include stock liquidity in the calculation of the bond value, we show that a drop in stock liquidity will increase the firm’s credit risk by increasing the firm’s default boundary, leading to an increase of the credit spread. Our model is consistent with the sharp increase of credit risk premiums and is observed the “yield spread spike” phenomenon in corporate bond markets during the financial crisis. We present empirical evidence supportive of our model
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