本篇文章旨在檢視美國市場個別股票流動性對公司債殖利率差的影響。我們延伸了 He and Xiong (2012)的結構式信用風險模型，並將個股流動性加入其模型並計算債券價格。我們發現個股流動性下降會提高公司違約邊界，進而提高公司的信用風險，因此導致公司債殖利率差上升，此效果對於投機級和短期債券更為顯著。此外，由於在金融風暴期間股市和公司債市場流動性會同步下降，我們的模型預測個股流動性對公司債殖利率差的影響會更顯著，本文的模型可以用來解釋在金融風暴期間公司債市場殖利率差大幅上升的現象。我們使用了2001年到1月2010年12月的美國公司債資料來進行實證分析，實證結果支持本文的理論預期。

This dissertation examines the impacts of individual stock liquidity on corporate bond yield spreads in the U.S. market. By extending the endogenous-default model of He and Xiong (2012) to include stock liquidity in the calculation of the bond value, we show that a drop in stock liquidity will increase the firm’s credit risk by increasing the firm’s default boundary, leading to an increase of the credit spread. Our model is consistent with the sharp increase of credit risk premiums and is observed the “yield spread spike” phenomenon in corporate bond markets during the financial crisis. We present empirical evidence supportive of our model

Acharya, V., S. Schaefer, and Y. Zhang, 2007, Liquidity risk and correlation risk: A clinical study of the General Motors and Ford Downgrade of May 2005, Working Paper , New York University.

Acharya, V.V., and L.H. Pedersen, 2005, Asset pricing with liquidity risk, Journal of Financial Economics 77, 375-410.

Amihud, Y., and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-49.

Amihud, Y., 2002, Illiquidity and stock returns: Cross-section and time-series effects, Journal of Financial Markets 5, 31-56.

Bao, J., J. Pan, and J. Wang, 2011, The illiquidity of corporate bonds, Journal of Finance 66, 911-46.

Blume, M.E., F. Lim, and A.C. MacKinlay, 1998, The declining credit quality of US corporate debt: Myth or reality? Journal of Finance 53, 1389-1413.

Bouwman, K.E., E. Sojli, and W.W. Tham, 2011, Stock market liquidity and bond risk premia, Working Paper.

Campbell, J.Y., and G.B. Taksler, 2003, Equity volatility and corporate bond yields, Journal of Finance 58, 2321-49.

Carhart, M.M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.

Chen, H., 2010, Macroeconomic conditions and the puzzles of credit spreads and capital structure, Journal of Finance 65, 2171-2212.

Chen, L., D.A. Lesmond, and J. Wei, 2007, Corporate yield spreads and bond liquidity, Journal of Finance 62, 119-49.

Chen, T.-K., H.-H. Liao, and P.-L. Tsai, 2011, Internal liquidity risk in corporate bond yield spreads, Journal of Banking and Finance 35, 978-87.

Chordia, T., A. Sarkar, and A. Subrahmanyam, 2005, An empirical analysis of stock and bond market liquidity, Review of Financial Studies 18, 85-129.

Collin-Dufresne, P., R.S. Goldstein, and J.S. Martin, 2001, The determinants of credit spread changes, Journal of Finance 56, 2177-2207.

Crotty, K., 2012, Corporate yield spreads and systematic liquidity. Working Paper, Rice University.

Das, S.R., and P. Hanouna, 2009, Hedging credit: Equity liquidity matters, Journal of Financial Intermediation 18, 112-23.

De Jong, F., and J. Driessen, 2012, Liquidity risk premia in corporate bond markets, The Quarterly Journal of Finance 2, 1-34.

Dick-Nielsen, J., P. Feldhütter, and D. Lando, 2012, Corporate bond liquidity before and after the onset of the subprime crisis, Journal of Financial Economics 103, 471-92.

Duffee, G.R., 1998, The relation between treasury yields and corporate bond yield spreads, Journal of Finance 53, 2225-41.

Edwards, A.K., L.E. Harris, and M.S. Piwowar, 2007, Corporate bond market transaction costs and transparency, Journal of Finance 62, 1421-51.

Elton, E.J., M.J. Gruber, D. Agrawal, and C. Mann, 2001, Explaining the rate spread on corporate bonds, Journal of Finance 56, 247-77.

Eom, Y.H., J. Helwege, and J.-Z. Huang, 2004, Structural models of corporate bond pricing: An empirical analysis, Review of Financial Studies 17, 499-544.

Fama, E.F., and K.R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.

Friewald, N., R. Jankowitsch, and M.G. Subrahmanyam, 2012, Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises, Journal of Financial Economics 105, 18-36.

Guedes, J., and T. Opler, 1996, The determinants of the maturity of corporate debt issues, Journal of Finance 51, 1809-33.

He, Z., and W. Xiong, 2012, Rollover risk and credit risk, Journal of Finance 67, 391-430.

Huang, J., and M. Huang, 2003, How much of the corporate-treasury yield spread is due to credit risk? Working Paper, Pennsylvania State University.

Huang, J.Z.J., and H. Zhou, 2008, Specification analysis of structural credit risk models, Working Paper, Penn State University and Federal Reserve Board.

Jacoby, G., G.J. Jiang, and G. Theocharides, 2009, Cross-market liquidity shocks: Evidence from the CDS, corporate bond, and equity markets, Working Paper.

Kalimipalli, M., and S. Nayak, 2012, Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market, Journal of Financial Intermediation 21, 217-42.

Leland, H.E., 1994, Corporate debt value, bond covenants, and optimal capital structure, Journal of Finance 49, 1213-52.

Leland, H.E., and K.B. Toft, 1996, Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads, Journal of Finance 51, 987-1019.

Lin, H., J. Wang, and C. Wu, 2012, Momentum spillover from stocks to bonds: The role of liquidity risk, Working Paper.

Liu, W., 2006, A liquidity-augmented capital asset pricing model, Journal of Financial Economics 82, 631-71.

Longstaff, F., and E. Schwartz, 1995, Valuing risky debt: A new approach, Journal of Finance 50, 789-819.

Longstaff, F.A., S. Mithal, and E. Neis, 2005, Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market, Journal of Finance 60, 2213-53.

Merton, R.C., 1974, On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance 29, 449-70.

Miller, M.H., 1977, Debt and taxes, Journal of Finance 32, 261-75.

Næs, R., J. A.Skjeltorp, and B.A. Ødegaard, 2011, Stock market liquidity and the business cycle, Journal of Finance 66, 139-76.

Odders-White, E.R, and M. J. Ready, 2006, Credit ratings and stock liquidity, Review of Financial Studies 19, 119-57.

Pástor, Ľ., and R. F. Stambaugh, 2003, Liquidity Risk and Expected Stock Returns. Journal of Political Economy 111, 642-685.

Pinches, G.E., and K.A. Mingo, 1973, A multivariate analysis of industrial bond ratings, Journal of Finance 28, 1-16.

Pogue, T.F., and R.M. Soldofsky, 1969, What’s in a bond rating, Journal of Financial and Quantitative Analysis 4, 201-28.

Qi, H., S. Liu, and C. Wu., 2010, Structural models of corporate bond pricing with personal taxes, Journal of Banking and Finance 34, 1700-18.

Roll, R., 1984, A simple implicit measure of the effective bid‐ask spread in an efficient market, Journal of Finance 39, 1127-39.

Roll, R., and A. Subrahmanyam, 2010, Liquidity skewness, Journal of Banking and Finance 34, 2562-71.

Schaefer, S.M., and I.A. Strebulaev, 2008, Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds, Journal of Financial Economics 90, 1-19.

Warga, A., 1992, Bond returns, liquidity, and missing data, Journal of Financial and Quantitative Analysis 27, 605-17.

Warner, J.B., 1977, Bankruptcy costs: Some evidence, Journal of Finance 32, 337-47.

White, H., 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-38.

Yu, F., 2005, Accounting transparency and the term structure of credit spreads, Journal of Financial Economics 75, 53-84.

Zhang, B.Y., H. Zhou, and H. Zhu, 2009, Explaining credit default swap spreads with the equity volatility and jump risks of individual firms, Review of Financial Studies 22, 5099-5131.