Erschienen:
Cambridge, Mass: National Bureau of Economic Research, 2020
Erschienen in:NBER working paper series ; no. w27092
Umfang:
1 Online-Ressource; illustrations (black and white)
Sprache:
Englisch
DOI:
10.3386/w27092
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
System requirements: Adobe [Acrobat] Reader required for PDF files
Mode of access: World Wide Web
Beschreibung:
We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross-sectional relationship between mutual fund cash holdings and fund flow volatility. Our measure captures how liquid funds perceive their portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is significantly lower than investment grade bonds in the cross section and deteriorated significantly following the 2008-9 financial crisis. Our measure can be applied in settings where either transaction data are not available or transactions are rare, including the markets for asset-backed securities, syndicated loans, and municipal bonds