Internal liquidity risk in corporate bond yield spreads

Tsung-Kang Chen, Hsien Hsing Liao*, Pei Ling Tsai

*Corresponding author for this work

研究成果: Article同行評審

32 引文 斯高帕斯(Scopus)


The recent global financial crisis reveals the important role of internal liquidity risk in corporate credit risk. However, few existing studies investigate its effects on bond yield spreads. Panel data for the period from year 1993 through 2008 show that corporate internal liquidity risk significantly impacts bond yield spreads (and changes) when controlling for well-known bond yield determinant variables, traditional accounting measures of corporate debt servicing ability, cash flow volatility, credit ratings, and state variables. This finding indicates that internal liquidity risk should therefore be incorporated into bond yield spread modeling.

頁(從 - 到)978-987
期刊Journal of Banking and Finance
出版狀態Published - 1 四月 2011

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