German Mittelstand bonds: yield spreads and liquidity
Journal
Journal of business economics : JBE
ISSN
0044-2372
Type
journal article
Date Issued
2016
Author(s)
Abstract
We estimate a cross-sectional model of the yield spreads of German Mittelstand bonds as a function of liquidity measures as well as a number of variables that control for both the characteristics of the issuing firm and the bond characteristics. Our results show a significant positive effect of illiquidity on the yield spread, which persists after controlling for the risk of the bond. Economically, the size of the liquidity premium of Mittelstand bonds is approximately twice the size of speculative grade US corporate bonds. Our findings are robust to different measures of liquidity and potential endogeneity biases.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Springer Verlag
Volume
86
Number
1-2
Start page
103
End page
129
Subject(s)
Division(s)
Eprints ID
252083