Utz, Sebastian
[VerfasserIn]
;
Weber, Martina
[Sonstige Person, Familie und Körperschaft];
Wimmer, Maximilian
[Sonstige Person, Familie und Körperschaft]
German Mittelstand Bonds
: Yield Spreads and Liquidity
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 15, 2015 erstellt
Beschreibung:
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