| Abstract: | 2007~2008年的金融市場動盪引發了自大蕭條以來最嚴重的金融危機，並且對實質經濟產生了巨大衝擊。在對金融危機的討論中，有人將注意力集中在市場的流動性缺乏和金融危機的相關性。Brunnermeier and Pedersen (2009)將流動性的概念進一步區分為融資流動性(funding liquidity)和市場流動性(market liquidity)兩類，並說明兩者之間的關係。他們提出損失螺旋(loss spiral)和保證金螺旋(margin spiral)的概念來說明兩者如何交互影響，形成一惡性循環，並進一步透過市場和融資流動性之間的相互影響而引起流動性迅速枯竭，造成衝擊擴散的機制。 本研究計劃在探討融資流動性和市場流動性對公司債價格的影響。文獻上已證明流動性會影響股票的報酬率，並建議將市場流動性視做股票市場的風險性因子。而債券市場的流動性較股票市場更差，因此在定價公司債及分析其報酬率時，更應將不流動性的各個面向考慮進去。因此本計劃的第一年旨在探討流動性對公司債定價的影響。和目前文獻只考慮一般的市場流動性對公司債價格的影響不同，本研究將探討條件式的市場流動性對公司債報酬的影響。我們擬分析條件性市場流動性是否為一風險性因子，並估計其beta值，以決定是否應將條件性的市場流動性納入公司債定價的因子模型中。 在此次金融危機中，市場也見證了當融資限制改變時，對整體金融市場流動性及資產價格造成的影響。融資流動性指的是投資者和投機者由資金所有者手中獲得資金的難易程度。融資流動性高即市場充斥著大量的流動性，融資交易能夠順利進行。 Brunnermeier and Pedersen (2009)指出融資流動性和市場流動性會交互影響。 Garleanu and Pedersen (2009)以理論證明一個資產的必要報酬除了取決於此資產的傳統beta值，也應考慮此資產受融資限制鬆緊的影響程度。 Adrian and Etula (2010)的實證分析也發現融資流動性是一個重要的風險性因子，對股票市場橫斷面的報酬有解釋能力。為了補足文獻上在融資流動性此一議題中對公司債市場的分析，本研究計劃的第二年我們將探討公司債的報酬是否有部份會受到交易者融資限制所影響。在第二年的研究計劃中，我們將構建可以代表融資流動性的保證金要求(margin requirements)之變數，並分析此一變數是否為一系統性的風險因子，而可用以解釋公司債市場的橫斷面報酬。 藉由此兩年期計劃對融資流動性和市場流動性的實證研究，我們希望對公司債市場的兩種流動性有更深入的了解，並且能對公司債的傳統因子定價模型做出修正的建議。
The financial market turmoil in 2007 and 2008 has led to a severe financial crisis since the Great Depression and has resulted in large repercussions on the real economy. In discussions of the current financial crisis, much is made of the apparent causality between the decline in the liquidity of financial assets and the economic crisis. Brunnermeier and Pedersen (2009) divide the liquidity into two categories, market liquidity and funding liquidity, and illustrate the relation between them. hey further propose the idea of two liquidity spirals: a margin spiral and a loss spiral, to explain why margin constraints can serve to amplify market fluctuations. Our research project aims to empirically analyze these two liquidities and study the impacts of them on corporate bond returns. It is well documented that time variation in liquidity affects stock returns. Recent studies have also suggested liquidity as a candidate for a priced risk factor in stock markets. In general, bonds are orders of magnitude less frequently traded than stocks, transaction costs are much higher. Hence for bonds all of the key dimensions of liquidity, ease of trade, transaction costs, and price impact, are first-order concerns. Accordingly, it is natural to expect that any effect of market liquidity on stock returns should be stronger in the bond market. Therefore, our first year project is devoted to understanding the role that liquidity plays in determining corporate bond prices. Different from current literatures which examine only the unconditional effect of market liquidity risk, our research will study the conditional behaviour of liquidity betas. In particular, we will investigate the implications of conditional market liquidity risk for corporate bond returns, and explore whether the response of corporate bond prices to liquidity shocks of stocks and Treasury bonds will vary over time in a systematic way. The world has witnessed the changes of funding constraints during the global financial crisis starting from 2007. Funding liquidity is referred to the ease of borrowing for a leveraged financial institution. Brunnermeier and Pedersen (2009) show that a trader`s funding affects, and is affected by, market liquidity in an extensive way. Along the same line of thought, Garleanu and Pedersen (2009) argue that an asset`s required return depends not only on its beta on traditional risk factors but also on the asset`s exposure to rising margin constraints. Adrian and Etula (2010) empirically show that funding liquidity risk constitutes an important risk factor for the cross-section of stock returns. However, these studies of funding liquidity`s impact on asset prices focus only on the stock prices. To bridge the gap in the literature, in the second year of this project, we will examine whether the risk premiums on corporate bond returns are partly due to capital and financing conditions of traders. We will construct a risk factor for margin requirements and show whether this factor is indeed a systematic risk factor that affects corporate bond returns. Through the studies of market liquidity and funding liquidity in the two-year project, we will examine the effects of the two liquidities on corporate bond pricings. Further, we will investigate to what degree the two liquidities can explain the cross-section of corporate bond returns, and explore whether they are systematic risk factors which should be incorporated into a CAPM-like factor pricing model. |
