Yield Spreads and the Corporate Bond Rollover Channel

59 Pages Posted: 10 Feb 2014 Last revised: 31 Jan 2019

See all articles by Florian Nagler

Florian Nagler

Bocconi University; IGIER - Innocenzo Gasparini Institute for Economic Research

Date Written: January 30, 2019

Abstract

I show that the pricing of a bond liquidity shock depends on the current size of a firm's bond rollover exposure. Using U.S. corporate bond transactions data, I find that a market liquidity shock induces a larger yield spread increase among firms with non-zero 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.

Keywords: Corporate Bonds, Yield Spread, Liquidity, Rollover Risk, Debt Structure

JEL Classification: G12, G32

Suggested Citation

Nagler, Florian, Yield Spreads and the Corporate Bond Rollover Channel (January 30, 2019). Available at SSRN: https://ssrn.com/abstract=2393517 or http://dx.doi.org/10.2139/ssrn.2393517

Florian Nagler (Contact Author)

Bocconi University ( email )

Via Roentgen 1
Milan, MI 20136
Italy

HOME PAGE: http://sites.google.com/site/floriannagler/

IGIER - Innocenzo Gasparini Institute for Economic Research ( email )

Milan, MI 20136
Italy

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