- 學位論文
The effect of credit and liquidity risk on US corporate bond premia
The effect of credit and liquidity risk on US corporate bond premia
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摘要
ABSTRACT The purpose of this study is to examine whether there is relationship between bond spreads, credit risk, and liquidity risk. Furthermore, whether there is interaction between credit risk and liquidity risk. The methodology used is structural equation model (SEM) to examine the relationships. The US corporate bonds, which are fixed-rate, no sinking fund provisions, and publicly offered from January 1994 to December 2001 are selected. The full sample of bonds is classified by ratings (AA, A, BBB, BB, and other) and time-to-maturities (less than 7 years, 7-15 year, and greater than 15 years). The results reveal there is significantly positive correlation between credit risk and liquidity risk. For the long-term bonds, the spread is affected more by liquidity risk than credit risk. For the short-term bonds, with higher quality, the spreads would be more affected by liquidity risk, and for the short-term bonds with lower quality, the spreads would be influenced by credit risk more. For the middle term bonds, credit risk has more influence on yield spreads than liquidity risk does
並列摘要
ABSTRACT The purpose of this study is to examine whether there is relationship between bond spreads, credit risk, and liquidity risk. Furthermore, whether there is interaction between credit risk and liquidity risk. The methodology used is structural equation model (SEM) to examine the relationships. The US corporate bonds, which are fixed-rate, no sinking fund provisions, and publicly offered from January 1994 to December 2001 are selected. The full sample of bonds is classified by ratings (AA, A, BBB, BB, and other) and time-to-maturities (less than 7 years, 7-15 year, and greater than 15 years). The results reveal there is significantly positive correlation between credit risk and liquidity risk. For the long-term bonds, the spread is affected more by liquidity risk than credit risk. For the short-term bonds, with higher quality, the spreads would be more affected by liquidity risk, and for the short-term bonds with lower quality, the spreads would be influenced by credit risk more. For the middle term bonds, credit risk has more influence on yield spreads than liquidity risk does
參考文獻
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