-
Views
-
Cite
Cite
Florian Nagler, Yield Spreads and the Corporate Bond Rollover Channel, Review of Finance, Volume 24, Issue 2, March 2020, Pages 345–379, https://doi.org/10.1093/rof/rfz005
- Share Icon Share
Abstract
I show that the pricing of a bond liquidity shock depends on the current size of a firm’s bond rollover exposure. Using US corporate bond transactions data, I find that a market liquidity shock induces a larger yield spread increase among firms with nonzero rollover exposures. This effect is more pronounced for credit risky firms and increases in the size of the rollover exposure. Furthermore, I show that tests that do not control for the heterogeneity in firms’ rollover exposure policies provide biased estimates of the pricing impact of the rollover channel.
© The Author(s) 2019. Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. For permissions, please email: [email protected]
This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://dbpia.nl.go.kr/journals/pages/open_access/funder_policies/chorus/standard_publication_model)
You do not currently have access to this article.