Corporate Transparency and Bond Liquidity
Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2014
Author(s)
Abstract
To answer the question what causes an asset to be illiquid, we analyze the impact that transparency of corporate accounting information has on the liquidity of its traded bonds. In particular, we focus on how this relationship depends on aggregate liquidity and the financial state of the firm. We use an extensive panel data set comprising more than 40,000 quarterly bond observations between 2004Q4 and 2012Q4. We find a statistically and economically significant impact of transparency on bond liquidity. This relationship becomes stronger during times of financial distress. We also find that the impact of transparency on liquidity is much larger than the influence of credit risk. Finally, we also find that transparent accounting information has a strong effect on liquidity risk.
Language
English
Keywords
Corporate Bonds
Liquidity
Transparency
Information Quality
Financial Crises
HSG Classification
contribution to scientific community
Refereed
No
Publisher
School of Finance
Publisher place
St. Gallen
Number
2014/4
Subject(s)
Eprints ID
229722
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Name
14_04_Füss et al_Corporate Transparency and Bond Liquidity.pdf
Size
556.19 KB
Format
Adobe PDF
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