Search Friction, Liquidity Risk and Bond Misallocation

（搜寻摩擦、流动性风险和债券错配）

主讲人：刘硕（清华大学）

主持人：（国发院）沈艳、黄卓、孙振庭、张俊妮

             （北大新结构经济学研究院）胡博

              （经济学院）王一鸣、王熙、刘蕴霆

时间：2022年4月15日（周五）10:00 AM —11:30 AM

地点：经院107

报告摘要：

Search friction is an important liquidity factor which drives all corporate bonds’ yield spread changes. In cross section, yield spread loadings on search friction (i.e. liquidity risk specific to search friction) are significantly different across bonds. We show that this cross-sectional heterogeneity can be explained by how each bond’s positions are relatively misallocated among traders. We propose a measure of misallocation for each bond, which is defined as the covariance of traders’ private valuations and inventory positions for each bond. Using transaction-level data, we find that: bond with a higher level of misallocation has a lower absolute value of yield spread loading on search friction, i.e. lower sensitivity of yield spread to change in search friction. We build a simple search-and-match model to show that this documented relationship is specific to decentralized market structure, where transactions rely on traders’ searching activity.

主讲人简介：

Shuo Liu is an Assistant Professor of Finance at the School of Economics and Management at Tsinghua University. Prior to joining Tsinghua, he obtained his PhD in Economics at UCLA. His major research interests include Corporate Bond and Over-the-Counter Financial Markets. His work has been published on Review of Financial Studies.