IDEAS home Printed from https://ideas.repec.org/a/oup/revfin/v24y2020i2p345-379..html
   My bibliography  Save this article

Yield Spreads and the Corporate Bond Rollover Channel

Author

Listed:
  • Florian Nagler

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.

Suggested Citation

  • Florian Nagler, 2020. "Yield Spreads and the Corporate Bond Rollover Channel," Review of Finance, European Finance Association, vol. 24(2), pages 345-379.
    • Handle: RePEc:oup:revfin:v:24:y:2020:i:2:p:345-379.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rof/rfz005
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Gao, Ning & Jiang, Wei & Jin, Jiaxu, 2023. "Disproportional control rights and debt maturity," International Review of Financial Analysis, Elsevier, vol. 85(C).
    3. Choi, Jaewon & Dasgupta, Amil & Oh, Ji, 2022. "Bond funds and credit risk," LSE Research Online Documents on Economics 118856, London School of Economics and Political Science, LSE Library.

    More about this item

    Keywords

    Corporate bonds; Yield spread; Liquidity; Rollover risk; Debt structure;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:revfin:v:24:y:2020:i:2:p:345-379.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/eufaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.