Extreme Illiquidity and Cross-Sectional Corporate Bond Expected Returns

时间:2022-11-02         阅读:


主题Extreme Illiquidity and Cross-Sectional Corporate Bond Expected Returns

主讲人香港城市大学经济与金融系 王军波教授

主持人工商管理学院 赵琳教授

时间11月3日 9:00—10:30

直播平台及会议ID:Zoom会议,会议ID:948 6729 4507

主办单位:工商管理学院 科研处


Junbo Wang, professor of the Department of Economics and Finance, City University of Hong Kong, doctoral supervisor, and recipient of the Overseas Outstanding Youth of the National Foundation of China. He has taught at Syracuse University. His main research interests include fixed income securities, asset pricing, corporate finance, and market microstructure. A number ofhisresearchpapershave been published in top journals such as Journal of Finance, Journal of Financial Economics and Management Science.

王军波,香港城市大学经济与金融系教授,博士生导师,国家基金委海外杰青获得者。美国雪城大学金融学博士和中国科学院管理学博士,曾在雪城大学任教。主要从事固定收益证券,资产定价,公司金融以及市场微观结构等领域的研究。多项研究成果刊登在Journal of Finance、Journal of Financial Economics和Management Science等顶级期刊。


Corporate bonds carry a premium of extreme illiquidity (EIL). This premium permeates all rating categories and heightens in times of stress and periods with high uncertainty. EIL has predictive power in the cross-section for future returns up to at least a one-year horizon. Active investors like mutual funds prefer low EIL bonds that can be easily liquidated in bad times, whereas passive institutional investors overweight high EIL bonds to receive the EIL premium. While adding an EIL factor constructed from portfolios to the factor model increases explanatory power, its effect is largely subsumed by bond-level EIL in a horserace regression.