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Liquidity and yield spreads of corporate bonds

Tishchenko, Sergei Ivanovich
http://rave.ohiolink.edu/etdc/view?acc_num=osu1095521304

Abstract Details

2004, Doctor of Philosophy, Ohio State University, Business Administration.
Corporate bond bid-ask spreads explain 40 percent of the temporal variation in yield spreads when daily individual bond data are used. Other known yield spread determinants such as the level and slope of the treasury yield curve, aggregate equity returns and implied volatility jointly explain only 10 percent of the yield spread variation. On average, approximately 60 percent of the bid-ask spread is impounded in the corporate yield spread. The estimates of the yield spread sensitivity to bid-ask spread changes are remarkably stable across bonds with different Standard & Poor’s credit grades ranging from AAA to CC. This evidence supports the view that corporate bond liquidity is an important yield spread determinant.
ANTHONY SANDERS (Advisor)
YIELD SPREADS; bid-ask spreads; bid-ask; CORPORATE BONDS; BONDS; SPREADS; LIQUIDITY

Recommended Citations

Citations

  • Tishchenko, S. I. (2004). Liquidity and yield spreads of corporate bonds [Doctoral dissertation, Ohio State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=osu1095521304

    APA Style (7th edition)

  • Tishchenko, Sergei. Liquidity and yield spreads of corporate bonds. 2004. Ohio State University, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=osu1095521304.

    MLA Style (8th edition)

  • Tishchenko, Sergei. "Liquidity and yield spreads of corporate bonds." Doctoral dissertation, Ohio State University, 2004. http://rave.ohiolink.edu/etdc/view?acc_num=osu1095521304

    Chicago Manual of Style (17th edition)

osu1095521304
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© 2004, all rights reserved.
This open access ETD is published by The Ohio State University and OhioLINK.