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Measuring the Perceived Liquidity of the Corporate Bond Market / Sergey Chernenko, Adi Sunderam.
- Format:
- Book
- Author/Creator:
- Chernenko, Sergey.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w27092.
- NBER working paper series no. w27092
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross-sectional relationship between mutual fund cash holdings and fund flow volatility. Our measure captures how liquid funds perceive their portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is significantly lower than investment grade bonds in the cross section and deteriorated significantly following the 2008-9 financial crisis. Our measure can be applied in settings where either transaction data are not available or transactions are rare, including the markets for asset-backed securities, syndicated loans, and municipal bonds.
- Notes:
- Print version record
- May 2020.
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