Investors’ Financial Health and Municipal Bond Liquidity Risk

2019 ◽  
Author(s):  
Tao Chen ◽  
Shinichi Kamiya ◽  
Pingyi Lou
Keyword(s):  
Liquidity Risk ◽  
Municipal Bond ◽  
Financial Health ◽  
Bond Liquidity

scholarly journals Spread determinants in corporate bond pricing: The effect of market and liquidity risks

2020 ◽  
pp. 2-2
Author(s):  
Menevşe Özdemir-Dilidüzgün ◽  
Ayşe Altıok-Yılmaz ◽  
Elif Akben-Selçuk
Keyword(s):  
Risk Premium ◽  
Emerging Market ◽  
Corporate Bonds ◽  
Liquidity Risk ◽  
Market Liquidity ◽  
Corporate Bond ◽  
Bond Pricing ◽  
High Yield ◽  
Bond Liquidity ◽  
Investment Grade

This paper investigates the effect of market and liquidity risks on corporate bond pricing in Turkey, an emerging market, and in Europe. Results show that corporate bond returns have exposure to liquidity factors and not to market factors in both settings. Corporate bonds issued in Turkey have significant exposure to fluctuations in benchmark treasury bond liquidity and corporate bond market liquidity; while corporate bonds issued in Eurozone have exposure to equity market liquidity and are sensitive to fluctuations in a 10-year generic government bond liquidity. The total estimated liquidity risk premium is 0.7% per annum for Turkish ?A? and above graded corporate bonds, and 1.08% for the last investment grade level (BBB-) long term bonds. For Eurozone, the total liquidity risk premium is 0.27% for investment grade 5-10 year term bonds, 1.05% for high-yield 1-5 year term bonds and 1.02% for high-yield 5-10 year term category.

Municipal Bond Liquidity

2004 ◽  
Author(s):  
Lawrence Harris ◽  
Michael S. Piwowar
Keyword(s):  
Municipal Bond ◽  
Bond Liquidity

scholarly journals The Impact of Government Intervention on Municipal Bond Liquidity Premium: Evidence from China

2019 ◽  
Vol 6 (3) ◽  
pp. 79 ◽  
Author(s):  
Xiao Wan Jiang
Keyword(s):  
Least Squares Method ◽  
Government Intervention ◽  
Liquidity Risk ◽  
Bond Market ◽  
Municipal Bonds ◽  
Yield Spread ◽  
Municipal Bond ◽  
Liquidity Premium ◽  
Short And Long Term ◽  
The Impact

Government intervention is an important factor which restricts the development of municipal bond market in China. Based on the revenue bond innovation pilot policy implemented by the Ministry of Finance in 2017, this paper uses municipal bond trading data of Chinese inter-bank bond market from May 2017 to June 2018 and the two-stage least squares method to study the impact of government intervention on the liquidity premium of municipal bonds. The results of the empirical research show: (1) The liquidity risk of municipal bonds is a factor that affects the yield spread, and the marginal impact of liquidity risk on the yield spread is about 4.6 basis points. (2) After the implementation of the revenue bond innovation pilot policy, the reduction of local government intervention significantly reduced the liquidity premium level of municipal bonds. Based on the above conclusions, we propose policy recommendations for the development of the municipal bond market in the short and long term.

Municipal Bond Liquidity and Default Risk

2017 ◽  
Vol 72 (4) ◽  
pp. 1683-1722 ◽  
Author(s):  
MICHAEL SCHWERT
Keyword(s):  
Default Risk ◽  
Municipal Bond ◽  
Bond Liquidity

A Fourfold Portrait of Consumer Financial Health

2014 ◽  
Author(s):  
Carsten Erner ◽  
Craig R. Fox ◽  
John S. Chalekian ◽  
Gabriel De La Rosa ◽  
Christopher Trepel
Keyword(s):  
Financial Health
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