The default and liquidity premia of corporate bonds: evidence from the trade reporting and compliance engine

Yongkil Ahn

doi:10.1080/13504851.2020.1808169

The default and liquidity premia of corporate bonds: evidence from the trade reporting and compliance engine

Yongkil Ahn

Dept. of Business Administration

Research output: Contribution to journal › Article › peer-review

Abstract

This study combines information in the Trade Reporting and Compliance Engine (TRACE), the most extensive bond database, with other fixed income data sets in order to quantify the default and liquidity premia in a reduced form framework at the bond level. The results show that the default premium is two to three times as large as the liquidity premium, and the liquidity term structure is not decreasing in the time to maturity.

Original language	English
Pages (from-to)	1271-1276
Number of pages	6
Journal	Applied Economics Letters
Volume	28
Issue number	15
DOIs	https://doi.org/10.1080/13504851.2020.1808169
State	Published - 2021

Keywords

default
liquidity
term structure
TRACE

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10.1080/13504851.2020.1808169

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title = "The default and liquidity premia of corporate bonds: evidence from the trade reporting and compliance engine",

abstract = "This study combines information in the Trade Reporting and Compliance Engine (TRACE), the most extensive bond database, with other fixed income data sets in order to quantify the default and liquidity premia in a reduced form framework at the bond level. The results show that the default premium is two to three times as large as the liquidity premium, and the liquidity term structure is not decreasing in the time to maturity.",

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AB - This study combines information in the Trade Reporting and Compliance Engine (TRACE), the most extensive bond database, with other fixed income data sets in order to quantify the default and liquidity premia in a reduced form framework at the bond level. The results show that the default premium is two to three times as large as the liquidity premium, and the liquidity term structure is not decreasing in the time to maturity.

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KW - term structure

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The default and liquidity premia of corporate bonds: evidence from the trade reporting and compliance engine

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Keywords

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