(In)frequently Traded Corporate Bonds

43 Pages Posted: 8 Jan 2019

See all articles by Alexey Ivashchenko

Alexey Ivashchenko

VU University Amsterdam

Artem Neklyudov

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne); Swiss Finance Institute

Date Written: December 24, 2018


We study a large group of bonds that experience substantial and long-lasting swings in trading activity. We call these bonds (in)frequently traded. They are similar to other bonds in primary bond characteristics, and publicly observed changes in these characteristics do not explain the swings in trading activity. We link jumps in trading activity of (in)frequently traded bonds to mutual fund rebalancing and document that more active trading in these bonds is associated with positive abnormal returns, but only after the 2008 crisis. Our results suggest that returns are due to growing mutual fund demand for (in)frequently traded bonds amid limited post-crisis secondary market supply, but the exact forces behind abnormal returns largely remain a puzzle.

Keywords: corporate bond returns, trading frequency, mutual fund rebalancing, over-the-counter markets

JEL Classification: G12, G14

Suggested Citation

Ivashchenko, Alexey and Neklyudov, Artem, (In)frequently Traded Corporate Bonds (December 24, 2018). Available at SSRN: https://ssrn.com/abstract=3306124 or http://dx.doi.org/10.2139/ssrn.3306124

Alexey Ivashchenko (Contact Author)

VU University Amsterdam ( email )

De Boelelaan 1105
Amsterdam, 1081HV

HOME PAGE: http://ivasche.com

Artem Neklyudov

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) ( email )

Unil Dorigny, Batiment Internef
Lausanne, 1015

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4

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