Eltoi Thsis d Dissttios UC Bkly P Rviwd Titl: Essys o th iil Bod kt tho: Wilkoff, S ikl t Dt: 1 Sis: UC Bkly Eltoi Thss d Dissttios Dg: Ph.D., Bsiss dmiisttio, Ph.D. PogmUC Bkly dviso(s): ff, Dwight Committ: Edlsti, Robt, Hlsly, Robt, Rbifld, Dil Pmlik: htt://sholshi.og//itm/t53f bstt: Coyight Ifomtio: ll ights svd lss othwis iditd. Cott th tho o oigil blish fo y ssy missios. Sholshi is ot th oyight ow fo dositd woks. L mo t htt://www.sholshi.og/hl_oyight.html#s Sholshi ovids o ss, sholly blishig svis to th Uivsity of Clifoi d dlivs dymi sh ltfom to shols woldwid.
Essys o th iil Bod kt By S ikl Wilko dissttiosbmittditilstisftioofth qimts fo th dg of Doto of Philosohy i Bsiss dmiisttio i th Gdt Divisio of th Uivsity of Clifoi, Bkly Committ i hg: Pofsso Dwight, Chi Pofsso Robt Edlsti Pofsso Robt Hlsly Pofsso Dil Rbifld Sig 1
Essys o th iil Bod kt Coyight 1 by S ikl Wilko
1 bstt Essys o th iil Bod kt by S ikl Wilko Doto of Philosohy i Bsiss dmiisttio Uivsity of Clifoi, Bkly Pofsso Dwight, Chi Th miil bod mkt is fiil mkt tht dos ot dw mh tttio fom dmis, shs, th govmt o titios. Howv, tht hgd tly wh th lgst ssio si th Gt Dssio imtd th U.S. oomy. Now vyo is stgglig to dstd two mjo qstios: 1) How do w mk to mkt bods i illiqid mkts? d ) Why 5% of w isss isd i mkt tht hs th lowst dflt t of y bod mkt oth th th tsy mkt? This dissttio xmis thos qstios i th ts. Th fist t, Th E t of Is o iil Bod Yilds, stdisth di btw isd d isd miil bod yilds. I fid tht lthogh som of tht di is ttibtbl to th t of is, oth hl oms fom slf sltio to is miilitis tht hoos to is di sigifitly fom miilitis who hoos ot to is. Withot otig fo th ltt slf sltio th is bfit s dvld. By fosig o miilitis with both otstdig isd d isd bods (mixd miilitis), I idtify tht i th -isis iod is fo sh miilitis ds miil bod yilds by bsis oits. Bt lysis of homogos miilitis vls th slf sltio t iss yilds by bsis oits. Howv, dig th t fiil isis, is otid to low yilds by bs, whs th slf sltio t isd yilds by 1 bsis oits. Ths, my wok xlis th t iitilly zzlig homo wh isd yilds os bov isd yilds. Th sod t, Th E t of Is o Liqdity, xmisliqidityith miil bod mkt dig th t fiil isis. I lyz th ts of is o liqidity fo miil bods d stimt how th ts of is hg wh th iss f loss of itl d tig dowgds. I ms
liqidity i th th wys most sitd fo illiqid mkts: th mihd ms, Roll s bid-sk ms, d tov. By ll th mss, both bfo d ft th fiil isis, bods with is lss liqid th bods withot is. I lso fid tht th liqidity of bods with is dss ov th fiil isis. Ths fidigs idit tht is dos ot imov liqidity. Th thid t, iil Bod kt Idx Bsd o Rt Sls thodology, itodstslsmthodologytotidxfothmiil bod mkt bsd o tstiol is, bs th t idis bsd o stimtd bod is. Th t sls mthodology llt idx fo y miil bod htisti. I t d lyz idis fo th miil bod mkt d st idis by tig, mtity, d htistis sh s is d bod ty (i.. Gl Obligtio o Rv). Rt sls mthodology is bsd o th ssmtio tht htistis of th bod do ot hg ov tim whih ms th movmts i bod is d to volvig mkt oditios. Iomthtslsidiswiththxistigmiilbodidisdfid th t sls idis highly oltd with th t idis with oltio of..
i To y Gdfth, vi Dvid Tlitz, Who tght m th vl of ti.
ii Cotts 1 Th E t of Is o iil Bod Yilds 1 1.1 Itodtio................................ 1 1. Bkgod................................ 4 1.3 Litt Rviw............................. 5 1.4 Hyothss................................ 11 1.5 Dt.................................... 1 1. thodology............................... 13 1..1 Th Bisd Vl of Is.................. 13 1.. Th Ubisd Vl of Is................ 14 1..3 Th Vl of Slf Sltio................... 15 1..4 Robstss Chk......................... 1 1. Rslts................................... 1 1. Colsio................................. 1 Th E t of Is o Liqidity 3.1 Itodtio................................ 3. Bkgod................................ 5.3 Litt Rviw..............................3.1 Siglig...............................3. Ifomtio Dislos.......................3.3 Clitl E ts...........................3.4 Tx-bsd tiol.........................3.5 Ngtiv Covi of Pi Chgs.............. 31.3. Nmb of Tds......................... 31.3. gggt Liqidity Fto.................... 3.3. Tstio Bsd Liqidity s.............. 3.4 Dt.................................... 34.5 Hyothsis................................. 35. thodology............................... 3..1 Liqidity ss........................ 3.. Liqidity Tsts.......................... 3
iii. Rslts................................... 4. Colsio................................. 45 3 iil Bod kt Idx Bsd o Rt Sls thodology 4 3.1 Itodtio................................ 4 3. Bkgod................................ 4 3..1 Bod By Idis........................ 4 3.. S&P Idis............................ 4 3..3 Rt Sls iil Bod kt Idx.......... 5 3..4 Di s Btw Idis................... 5 3..5 Idx Possibilitis......................... 5 3.3 Dt.................................... 53 3.4 thodology............................... 54 3.5 Disssio................................. 5 3. Rslts................................... 5 3. Colsio................................. 3 Biblioghy 4 4 dix 4.1 Fist ht............................... 4. Sod ht.............................. 4.3 Thid ht............................... 143
iv kowldgmts I m dly idbtd to my dissttio hi Dwight, d my ommitt mmbs Robt Edlsti, d Robt Hlsly. Dwight ws istmtl i ovidig sh ditio, ws gt mto d I old hv ot do it withot him. Robt Edlsti ws s idibl ol modl fo m d gv m itio fo wi. Robt Hlsly ws xtmly gos with his tim d fiil sot fo dt withot whih I wold ot hv hd thsis. I wold lik to giv sil thks to midjov d dw ozk withot whos hl I v wold hv gdtd o tim. Thy dsv sil thks bs thy obbly th oly ol otsid my dviso who d my whol dissttio. I wold lik to thk t d st lssmts: vd hmd, ds Doglo, Nth Gog, By Htm-Gls, S Holld, Ptish Ptl, dm Yo d my ohot (Bois, Hi, d im) fo givig m dvi, hl, d kig m s dig gd shool. By d Ti y dsv sil thks fo ovidig m with l to liv, big gt tithlo tmmt, d kig m lm dig my most stssfl tim. I m gtfl to shok Bdhm, Stt Gbil, Kim Gilfoyl, Cythi Koll, lxi Thistyi, im Wilox, th Fdl Rsv Bod, th Fish t st (Chls, Dbbi, Lid, th, d Thoms) fo thi hl d sfl disssios. I lso gtflly kowldg th Whit Fodtio, IBER d th Fish Ct fo fiil sot. I wold lik to thk my fmily fo ll thi lov d sot. y mom l I do ot hv th wods to xss my thks fo ll yo hv do fo m. Dd d Tss, fo yo lov, sot, hyosis d hl of yo fids. y sist Hily fo wys big th to tlk. D, I will miss big yo ighbo, hgig ot with yo d mkig vodo st. It ws i s ig thogh it ll t th sm tim s Dvid so I old hv som o with whom to ommist. I d with iddl fo thos i d of littl stiv. Wht gos o fo lgs i th moig, o two lgs t oo, d o th lgs i th vig?
1 Cht 1 Th E t of Is o iil Bod Yilds 1.1 Itodtio U.S. miilitis i isis. I Novmb 11, so Coty lbm, ov 4 billio dolls i dbt, fild th lgst miil bkty i U.S. histoy. Bt miilitis ot th oly titis fig bkty; th miil bod is idsty is i v gt fiil distss. Evy tim th hs b sigifit miil bod isis, sh s th Nw Yok dbt motoim of 15 o th Wshigto Pbli Pow Sly Sttio (WPPSS) dflt, th tg of th miil bod mkt tht is isd hs isd. I 5 this fig gw to 5% of th. tillio doll miil bod mkt. This tim, howv, s slt of ty ito th sttd fi mkt, th miil bod iss hv b ght i th isis. Wh th o ws idsty with sv td iss, ow oly two iss mi, o td ssd Gty d th oth td BBB+ BI. Th dowgds of th miil bod iss od wh is ws most dd, d this timig md Cogss qstio th bfit of miil bod is, whih is itdd to ovid low osts of fdig to miilitis. Th bility of miilitis to iss low ost dbt is imott to th fdl govmt, whih is why th is o fdl tx o miil bods d why fdl is ogm to bil ot th miil bod iss ws osidd i. Whil, tyilly, is is sd to d dflt isk, histoilly, ll S&P td miil bods hv mltiv dflt t of.%, d ivstmt gd bods, thos
most likly to b isd, hv mltiv dflt t of.%. Com this with oot bods, whih fims ot is d hv ovll mltiv dflt t of 1.%. Whil th govmt is ow tkig itst i th bfit of miil bod is, si th 1s, wh miil bod is sttd, dbt hs b ogoig s to whth o ot sh is ovids t bfit d, if tht is i ft th s, wh tht bfit oms fom. Th miil mkt hs ov 5, isss of tx-xmt sitis, d my fitios bst this mkt. Sh fitios ild th followig fo tgois. I th fist l, th is symmti ifomtio sd by th slow ts t whih miilitis dt d dislos ifomtio. Th sod fitio is th xist of st tig sls fo miil bods d oot bods. This fitio wold ot xist if gltios di titd btw sls istd of ttig tigs fom h sl s qivlt. Thid, whil miil bods xmt fom both fdl d stt txs, th bodhold mst b sidt of th stt th bod ws issd i to bfit fom th stt xmtio. Filly, th mjoity of bodholds i this mkt idividl ivstos who hold % of th mkt ditly s wll s iditly thogh mtl fds. I th st, yilds o isd bods w blow isd bod yilds; howv, tly this td hs vsd, d isd bod yilds ow gt th isd bod yilds, sggstig is iss yilds o miil bods. Pst sh ttibts th di i miil bod yilds to is. Howv, this is oblmti bs th is bfit dos ot ot fo th dlyig di s btw thos miilitis tht hs is d thos miilitis tht do ot hs is. Usig w idtifitio sttgy I domos yilds ito is omot, whih is th yild dtio ovidd by is, d slf sltio omot, whih is th yild hg ttibtbl to th di i miilitis who hoos to is. By otig fo miility ts, I stimt th t of miil bod is o miil bod yilds d xli wht sd yilds o isd miil bods to is bov yilds o isd miil bods. s xtd, th is t lwys ovids dtio i miil bod yilds, bt ot to stdd siglig modls, th sltio ito is iss yilds. I show tht isd yilds os bov isd yilds d to joit t of dli i th is bfit, sd by dliig dit qlity of th iss, d is i th sltio ito is t, sd by o bot th dlyig di btw miilitis who hs is d miilitis tht do ot hs is.
3 I th dt th two tys of miilitis: thos miilitis whih hv both isd d isd dbt otstdig, whih I f to s mixd miilitis, d thos miilitis with oly o ty of dbt otstdig (ith ll isd o ll isd), whih I f to s homogos miilitis. I w sttgy to sigl ot th is bfit I fos o mixd miilitis. By gssig th sd btw miil bods d Tsy bods o dmmy fo is d oth bod htistis, I fid tht is ovids yild dtio of ight bsis oits (bs). Si is mims o vg o d hlf bsis oits t bfit mis. By sig oly mixd miilitis I otol fo th idiosyti ts of th miility d sbsqtly stimt th bfit of hvig is. O th oth hd, stimtig th di btw isd yilds d isd yilds fo homogos miilitis givs vl tht otis th is bfit ls th slf sltio t. To obti th yild hg ttibtbl to th slf sltio t, I di i di gssio with th sd btw miil bods d Tsy bods o th lft-hd sid d ittio btw dmmy iditig is stts d dmmy to idtify if th miility is mixd o homogos o th ight hd sid, whil otollig fo bod htistis. It ts ot tht slf sltio iss yilds o isd bods by six bsis oits. This lysis is osistt with th dt dig th fiil isis. s iss dowgdd d go bkt, th is bfit stys t ight bsis oits whil th t of sltio ito is iss to 1 bsis oits. To otol fo bod htistis I fos o log tm, ollbl, fixd t, gl obligtio (GO), tx xmt bods with dlyig tig t th tim of th tstio. I fos o GO bods bs GO bods ovid fo th fll fith d bkig of th miility, wh if ssy, miilitis will is txs to y fo GO bods. By otst, v bods hv lim o th v of th ojt big fdd, bt hv o otsid os if th ojt fils. Th lim to sh flows will b th sm fo vy otstdig bod, wh s v bods will hv lims to di t sh flows. Thfo I stit my tttio to GO bods bs v bods lims to di t sh flows. Th st of th ods s follows. Stio 1. ovids bkgod o th stt d tiits of th miil mkt. Stio 1.3 viws xistig litt o miil bod mkts d dissss how my fidigs fit i th xistig litt. Stio 1.4 sts my hyothss bot th t of is o miil bods. Stio 1.5 viws th dt vilbl. Stio 1. dissss th mthodology fo stig is ts. Stio 1. sts d itts th
4 slts. Stio 1. olds. 1. Bkgod I viw slit fts of th miil bod mkt d miil bod is tht ssy to dstd how I idtify th vl of is. I disss th ol of miil bod iss d dit tig gis i th miil bod mkt. I lso xli why th bod iss wt bkt dig th t isis. Bod gts di fom oth tys of is i thi yot stt d th wy isss y fo th is. Nmly, giv miility mks o-tim fot ymt ot of th bod ods to th is who i t ovids is fo th lif of th bod. I s of dflt, th is otis th shdld itst d iil ymts til ith th miility sms ymts o th bod mts. If th miility is bl to sm ymts, it is qid to omst th is fo y missd ymts d id lgl fs. Wh miilitis wt to sll bod iss, th two wys i whih thy did who will dwit th iss. Thy ith s omtitiv o ig wh dwits bid o th iss fo sl d th lowst bid wis. I this s, th bid will ild y is ost so, if th bid with is is h th th bid withot is, th miil bod will hv is. lttivly gotitd o ig is wh th miility ditly iks dwit to sll th bod iss. Udwits do ot sbmit bids i th gotitd mthod, bt th th miility iks th dwit tht it fs to wok with. I th gotitd o ig th dwit woks with th miility o didig wh to iss th bods d dtmiig bod yilds. Whil th stdd ol of is is to ott gist th dflt isk; Hml (11), oody s ot, d S&P ot show tht th dflt obbility of ivstmt gd miil bods is lss th.1% goig bk to th 15 s. ost 1 dflts o i hosig d hlth miil bods. O ky bfit tht miil bod is ovids is imovd tig fo th miil bods. iil bods iv dit tig fom th di t dit tig gis (CRs): S&P, oodys d Fith. Th CR tigs simil bt I s dit tigs ovidd by S&P. S&P isss two tys of tigs: stddtig,whihisthtigthtomsssydithmt,d dlyig tig, whih is th tig of th miil bod withot is. 1 Tt, Emy, d V Pgh (1), Gbil Ptk d Wtso (11)
5 Uisd bods oly hv stdd tig. Fo isd bods miilitis hoos to hv stdd tig o both stdd d dlyig tig. If to th tig of th miility withot is s th dlyig tig. Iss o th oth hd iv thi ow tig. Th stdd tig of bod th fs to th high of th two tigs, ith th tig of th bod o th is. 1.3 Litt Rviw Ely miil sh fosd o swig if is td t bfit to miilitis. Th s stimt th t bfit of miil bod is bsd o omiso of isd d isd miil bod yilds. Two of th th s ms th t bfit of is bsd o t itst ost (ti), th itl t of t (IRR) of th bod iss tht sts th bod oo ymts ql to th bid i id by th dwit. Th thid mss th ost of is sig t itst ost (i) dfid s th vg l itst ost of w sil iss. Howv, th thos ommt tht ti is fd d tht simil gssios to thi hv b sig ti d do ot hv di ig slts. 3 Bswll, Nosi, d Bowig (1) gss ti o siz, mtity, o ig ty dmmy, GO dmmy, tig dmmis, miil bod idx d is dmmy. Th o it o th isd dmmy is thi stimt of th yild t of is whih thy fid to b ositiv bt ot sigifit ldig to thi olsio tht is is ot vl hig. Col d O (11) d Kidwll, Sos, d Whowiz (1) stimt gssio simil to th vios gssio fo isd bods withot th isd dmmy. Th thy ly th stimtd qtio to thi isd bod sml d itt th sidl s ms of th vl of is. Col d O (11) do ot ovid stimt of th svigs bt fid sigifit gtiv di btw th t itst ost with d withot is imlyig is ovids t bfit. Kidwll, Sos, d Whowiz (1) ilds is mim dt d stimts th t bfit of is to b fom -3. bsis oit fo td bods to 5 bsis oits fo BBB. Kidwll, Sos, d Whowiz (1) gos st fth by syig th ifomtiol symmty ovids th t bfit of is d tht th ifomtio symmty is gt s th dit qlity dlis. Th ky oit h is tht ll of ths Som miilitis hoos ot to gt td t ll i whih s th miil bods td. 3 Th thos tht s ti ssm th ost of is is ssd thogh to th dwits. Thfo th is mim will b fltd i high yilds. Both ti stdis ild llbl bods i thi smls.
stimt th is bfit withot otig fo th dlyig di btw miilitis tht hoos is d miilitis tht do ot hoos is. I this I do ot vlt if is is ost tiv bt I stimt th is bfit otig fo th iht di i isd d isd miilitis. oth limittio of th vios s is thi bility to lyz oly o is, BI. Qigly d Rbifld (11) hv th sm dt isss s th fomtiod s, bt thy tk dvtg of tim wh som bods issd withot is w sold o th ftmkt with is. This ms tht bods issd withot is w lt sold with is i th sody mkt lthogh ot ll th bods of iss w sold with is oly ftio of thm. This ovids gt tl ximt, omig isd d isd bods fom th sm iss, to stimt th bfit of is. Thy limit thi sml to bods withot ll ovisios d fid tht th t of is is sbsttil tig 14 to bs ds i tms of yilds. Qigly d Rbifld (11) stimt th t of is by gssig miil bod yilds o idis fo itst ts, dmmis to otol fo th iss d is dmmy. Thi sttgy is simil to mi i tht thy mth th bods by iss to otol fo ofodig ftos. Howv, I tk this o st fth by otollig fo bod htistis sh s llblility, bod ty, d mtity whil thi sttgy stimts th vl of is fo giv bod it th vgs th bfit ov ll th isss d th ftos jst mtiod old llow is to ovid lg bfit. lso bs thy lookig i th ftmkt fo is th bods tht ivstos hs is fo th bods whos miility hos ot to gt is stig thm fom th miility tht dd is. Whil this ovids stimt of th vl of is to isd ty it dos ot stimt th vl of is fo th ty tht ds is. ssmig th two tys do hv ihtly di t qlitis ths vls will b di t, this stimts th ltt vl. fw s ovid thoy xliig th bfit of is whil oths ovid miil tsts to xli di t mhisms thogh whih is ovids bfit. Thko (1) sts o of th fist thotil xltios fo dbt is. Thko s thid ty siglig modl lis to y mkt wh thid ty gth ifomtio to llvit lmos oblm, bt i od to look t qilibim h foss o dbt is. H sts th stdd lmos mkt with symmti ifomtio oblm wh isss kow thi ty bt th ivstos do
ot. I this modl thid ty ys f ddt o th iss ty to l th ty of th iss d th ss tht ifomtio to sll thm is. Th mot of is boght by th iss is isig i th qlity of th iss d th mim hgd is dsig i th qlity of th iss. H fids stig qilibim whby th highst qlity isss by th most is d i o-stig qilibim wh ll isss flly isd d th mkt itst t is th isk f t. Th isss bl to sigl thi qlity thogh thi hs of is. Thko (1) mks f to th ft tht th ty of is h is disssig is ol i th miil bod idsty. I Thko s modl isss did how mh is to by. I lity this modl dos ot hold bs miil bod is is ll o othig disio d miilly th highst qlity isss do ot by is. Howv, Thko s modl ovids mhism whby isss might by is fo th siglig bfit gdlss of y is bfit. Th slts i this sggst th mkt ivs th miility tht gts is to b th low ty ot to ditios i Thko (1). Thko s modl highlights th ft tht th di s btw th miilitis tht gt is d miilitis tht do ot gt is. I sggst miilitis ot siglig bt hsig is i od to d liqidity isk. Nd d Sigh (4) modl th is bfit s tx bitg. I thi modl th is is dflt f d by hsig is th xtd vl of th tx xmtio is isd bs th is boms th iss of th tx xmt dbt. Not vyo hs is bs th dowsid is ivstos o log hv tx loss bfit, fd to s itl loss, s th is o dflt fo isd miil bods. Th itly btw th isd tx bitg d th limitio of th itl loss dtmi who hss is. Thi modl sggsts tht is is mo likly fo miilitis with high ovy ts d fo giv dflt isk th disio to is dds o ovy t. y fidigs sggst tht th mkt is mo od bot gttig thi fll vl o th isd bods th th isd bods whih is oty to th ditio of Nd d Sigh (4). Howv, th modl I st is i li with thi miil fidigs i tht lg bod iss d log mtity is th bfit d liklihood of is. Thy lso fid tht is fo th to tigs is lss likly th fo th low td this is lso i od with my modl whih wold sggst lg liqidity gis to low td miilitis giv th litl t fo holdig ssts.
gl (14) ovids ovviw of th iddl sodig th xist of is d domts th ossibilitis ov whih is old ovid bfit. H olds tht is ovids bfit by isig th liqidity of miil bods. gl (14) dissss this slt bt dos ot ild modl o miil wok to sot his id. I follow thogh o his ojt by xmiig th diff btw th isd d isd go d sggstig modl by whih is is ssmd to is liqidity d ovid t bfit to miilitis who mo illiqid. I th t litt o miil bod is, Go, Shs, d Tzik (4) ovid vid tht is is lso tool fo ovidig ifomtio. Thy om ihig d Psylvi, two stts with di t lws o bod ifomtio dislos. Thy fid i Psylvi, wh gltios lss stigt, miilitis td to gmt th limitd disloss with is. I stts lik ihig with tight dislos lws, isss s lss is. Th ky oit is Go, Shs, d Tzik (4) ovid miil vid osistt with my fidigs. Wh it is mo ostly to dislos ifomtio miility hss is bt wh th mkt is mo ti bot miility, i. th miility is fod to dislos ifomtio, th liqidity bfit is dd d is is ot hsd. Dowig d Zhg (4) oit ot th miil mkt is lss tst th th qitis o fts mkts. Bs miilitis ot sbjt to th sm disloss s blily tdd ootios. Whil Dowig d Zhg s this ft to xmi th volm-voltility ltioshi i th miil mkt it is lso motivtio fo why th might b bfits to iss gthig ifomtio. Thy highlight imott oit fo why is is ot vlt i th oot mkt, th ft, tht th mkt hs ltivly to dt ifomtio bot fim t y giv tim. Diso (3) xmis mkt sgmttio thoy s th so fo miil bod is, th t of xss dmd fo low isk bods d xss sly of high isk bods. Th thoy sggsts tht th yild di til btw oody s td B d td will ifl th bfit of is d thfo th liklihood of gttig isd. Diso otibts to th miil fts o liklihood of is d fids th sd btw B d dos ot t th disio to is, bt fids th sly of bods i th mkt ts th is disio. Th lg th otstdig bod sly th mo likly th miility is to gt is. This fidig sots modl wh miilitis who hv liqidity
mim ssoitd with thm mo likly to gt is. I wokig (Li 11), Go Li xlos th id tht iss hv mo ifomtio bot miil bod dflt isk th dit tig gis. Li lims th mim hgd by iss to isss is mo t ms of bod qlity th th bods dlyig tig. Li (11) mss iss vltio of bod qlity by sig th is mi to dit tig dowgds, oxy fo dflts. oxy fo dflts is dd bs of th ity of dflt vts i th miil mkt. Is mi ovid ifomtio byod wht is ildd i th dit tig fo ditig dowgds. Go ttibts th ditio of tig dowgds to iss sig thi xt ifomtio to fily i is fo th iski isss. Rtig gds ot ditd bs iss hg isss thy kow to b btt qlity th thi bli tig, th vg is ost fo thi bli tig istd of hgig thm th tilly fi i. Li s fidigs b osistt with Thko s modl wh istd of isss hoosig how mh is to by thy di titd o th mim thy hgd to by fll is. Th slts sggst tht iss iig i th tl isk fo miilitis tht iski th th sttd tig d iss hg btt td miilitis th vg mim bsd o thi tig bt this wold ot lv y bfit fo th low ty d wold b ostly fo th high ty. I sggst modl tht wold ot fo th mims big st otly odig to tl isk bt still ovidig bfit to th miility thogh th id bfit of liqidity. Th miilitis tht ot oly td might hv mo ostly tim ovidig ifomtio whih is why thy wt to is i th fist l. Li fids isd bods mo likly to xi tig hgs bt this old b bs tig gis mo sily gt ifomtio o ths miilitis so th tigs mi t. Li dos domt is mim of.1 to.1 bsis oits fo td miil bods bsd o thi dlyig tig fom lifoi dig 1-5. Ths mims ovid sot tht is ovids t bfit to miilitis bs th mims lss th th bs yild bfit of is. Piisky d Wg (11) look t th t of tx idd litl o miil bod yilds. Thy g th di i txs btw stts sgmts th miil bod mkt d ots fo my of th miil bod mkt zzls. D to di s i stt txs iss bility to divsify oss gios llows thm to gt sls tht thy sh with th miilitis. Emiil fidigs distigish thi stoy fom Nd d Sigh (4) tx bitg modl. Thy s
1 logit gssio to omt th liklihood of is otollig fo mtity, tx t, tx stts of th stt, iom it, ivstmt it, llbility, tsy bod yild d w dbt iss. Th w dbt iss vibl ovids th o it of itst s it sts th liklihood of gttig is bsd o th tio of miil bod iss dig th y ltiv to th oltio of th miility. Th liklihood of is is isig i dbt iss ltiv to oltio whih gos towds gig thi stoy d mi ov Nd d Sigh. This ovids stoy i li with Piisky d Wg (11) i tht thy look t o st of liqidity th di d to di ig tx bfits. I ovid stoy tht omsss isk tl ivstos d ll sts tht wold di tit th liqidity isk btw two isss v withi th sm stt. Shi, Coh, d Bgstss (1) fid tht dig th isis yilds o isd miil bods is bov yilds o isd bods with th sm dlyig tig. Shi, Coh, d Bgstss (1) stimt th yild bfit of is sig th sm mthodology s vios litt xt tht thy llow fo th ditio of th td wh lookig t yilds. Shi, Coh, d Bgstss (1) ttmts to xli th is i isd yilds ov isd miil bod yilds by lookig t th t of liqidtig td otio bod ogms bt olds th is i isd miil bod yilds ws ot sd by th TOB ogms. oth ossibility is th ossibl t of mtl fds d iss sllig o isd dbt bt thy fid th oosit to b t tht mtl fds tdig to hold isd dbt. Nxt thy osid liqidity by vltig odti tstios ost ms dvlod by G, Hollifild, d Shho (). Th tstios osts fo isd bods is 3 bsis oits mo xsiv th fo isd bods whil io to th iss th ost is 1 bsis oits. Thy xli th 1 bsis oits s htogity i ivstos, my modl sggsts di t xltio. Th tity sodig th viosly isd miilitis is gt d th dl is mo od with ov yig d thfo hgs high tstio osts. I bild o Shi, Coh, d Bgstss (1) by xliig th ivsio i yilds is d to th dlyig di i liqidity btw isd d isd isss. Th dlyig di s xist io to th iss bt xbtd dig th isis. s th is bfit is dd d liqidity os is th is lg ositiv yild di til btw th isd d isd miil bod yilds. This tks w oh to idtifyig th vl of is d th ifomtio otid i hsig is stly. Simil to Qigly d
11 Rbifild I s isss who hv isd d isd isss otstdig. I bild o th vios litt by stimtig is bfit tht otols fo sltio ito is. Th t fiil isis llows lysis of th bfit of is s th dit qlity d dibility of th iss is movd. I st siml modl tht sggsts th bfit of is oms fom iss bility to imov th liqidity of bod whil ot hgig th miility fo this bfit d to th omtitiv t of th is mkt. G, Hollifild, d Shho () d His d Piwow () stimt mss of tstio osts tkig dvtg of th SRB dt whih ovids who iititd th td with th dl. Both s fid dl mk o tstio osts isig i is whih G, Hollifild, d Shho () ilds s omlxity ft bt His d Piwow () lyzs ditly. Th slts sggst dowwd bis i th imt of th is bfit sh tht if th w o dl mk th bfit fom is wold b gt. y fidigs ild th dl mk i lltig th di btw isd d isd yilds. 1.4 Hyothss Imgoigtosttthmihyothssthtwillbtstdistio1.. Th fist qstio I xlo looks t th t of is o miil bod yilds. Poositio 1. Th t bfit of is lows yilds o bods. Is ds th isk of miil bod dflt d imovs liqidity bt oly hgs fo th dit hmt so th bfit shold otwigh th ost. Th sod qstio I sk stimts th hg i th yilds of miil bods d to slf sltio t. Th slf sltio sts th liqid ty fom th illiqid ty. Poositio. Withot is th go who wold bfit fom is will hv high yild. If th xists obsvbl di s btw isd d isd miil bods, th th hs of is will st th mkt ito two tys. I hyothsiz tht th illiqid ty hs is bs th iss hg th t fo th vg mkig is did fo th illiqid ty. Thfo si th mkt idtify th illiqid ty th yild o illiqid bods is high. Th di s btw th isd d th isd is wht th mkt is iig.
1 Poositio 3. ds i th is s dit qlity iss th yild o th isd bods. If th is s dflt obbility iss, th th liklihood th is ys i dflt vt dss d th is boms wothlss. Poositio 4. is i th liklihood of liqidity disot iss th isd yild. Th obsvbls tht mk miility th illiqid ty i oml tims will b xbtd i tims of iss sig th mkt to t high mim o illiqid miilitis. 1.5 Dt Imgthdi tdtsostottstblmiilboddtbs. Th iil Sitis Rlmkig Bod (SRB) ovids tstiol dt fom to. Stdd d Poos (S&P) ovids tigs d bod htisti dt. dditiol htisti dt oms fom Bloombg. Th SRB tstiol dt otis ov millio tstios o ov, idividl log tm miil bods. I mth th tstios with dt fom S&P. Th S&P dt otis stdd tigs, stdd tig hgs, S&P Udlyig Rtig (SPUR) if vilbl, SPUR hgs, d bod htistis fom 1 to. SPUR sts th tig of bod withot dit hmt. If dit hmt dos ot xist fo th bod, th th SPUR tig will ot xist. Howv, bods withot SPUR my hv dit hmt. Fo h tstio Imththbod smostttigiotothtstiodt. Sohbodhs th most to dt dlyig tig t th tim of th tstio. I slmt h tstio with Bloombg dt ildig llbility, mtity, o ig ty, oo, iss siz, bod siz, d stt i od to otol fo bod htistis. ll dt sts mthd by si. I th mgd dt I stit myslf to bods tht log tm, o-llbl, gl obligtio, tx xmt d hv (-,, +) dlyig tig. mog th isd tstios I fos o thos tds tht isd by BC, BI, FS, o ssd. Th SRB dt ods who iititd th tstio. I s tstios wh ivsto is byig miil bod fom dl. Fo this stdy I tt dlyig tig of -, d + s dlyig tig of.
13 gig th fo sos yilds dt st tht ovs ll dily miil bod sody tstios fom to. Th to iod hs th dvtg of ovig th tim iod bfo, dig, d ft th dowgd of th iss. Th iq miilitis i th sml, s dfid by th fist six digits of th si. Th 31 mixd isss whos bods tdd ov th - tim iod. Ths bods omis,3 of th tstios o 4% of th sml. Th mb of homogos miilitis is 531 mkig th miig 3% o 4,44 tstios. Fth smmy sttistis b fod i Tbl 4.3 d 4.. Dfiitios of ll th vibls sd i Tbl 4.1. Shi, Coh, d Bgstss (1) s sml simil to th o i this xt thy ild mo ys of SRB dt d s gt to dd htistis whil this ss Bloombg d S&P. 1. thodology I this stio I ovid w idtifitio sttgy fo stig th vl of is fom th vl of slf sltio. I xmi th bis i th st stimts of is vl d xli sttgy to otol fo iss ts i od to t bisd stimt of is vl. Th lst t of this stio domts how th vl fo sltio ito is is stimtd. 1..1 Th Bisd Vl of Is Shi, Coh, d Bgstss (1) domt tht dig d ft th olls of th miil bod iss isd yilds os bov th isd yilds fo th fist tim. I ofim this fidig by lookig t th di btw isd d isd yilds whil otollig fo dlyig tig d bod htistis. I th followig gssio 1 ovids stimt of th vl of is Sd i,j,,t = 1,t Isd i + k,t X i,k + s,t s + i,j,,t, (1.1) wh Sd i,j,,t sts th sd to tsy fo miil bod i, issd by iss j with tig i tim iod t, s is st of stt otols, X i,k is vto of k stdd otols sd to stimt miil bod sds to Tsy fo bod i, sh s mtity, bod siz, iss siz, d tim otstdig. Th fll list of otol vibls sd b fod i Tbl 4.1. Th lot of 1 stimts b fod i Fig 4.1. I lso sod sifitio to otol fo ss lvl dt bot
14 iss fiil htistis: Sd i,j,,t = 1,t Isd + k,t X i,k + s,t s +,t + i,j,,t, (1.) wh Sd i,j,,t is th di btw tsy yild d yild o miil bod i, issd by iss j with tig i tim iod t, P is st of ss otols, d S d X i,k th sm s i gssio 1.1. Th slts of this gssio do ot vy gtly fom gssio 1.1. Rgssio 1.1, withot ss otols, is ommo i th st litt fo stimtig th vl of is. Th oblm with gssio 1.1 is its stimt 1 is bisd dowwd d to th lk of otol fo iss ts. Howv, th di lty i stimtig th is bfit lis i tig idtifitio sttgy tht ots fo th ossibility tht obsvbl htistis oltd with who hss th is. OLS i th vios gssio is th t, whih is th t vl of is, ls th o-zo omlizd ovi btw big isd d vios obsvd htistis. Nmly, ˆOLS = + ov(isd j, j ).Th v(isd j ) obsvbl iss htisti j ts th disio of iss j to is. H, th bisd stimt of is otis two omots: is t, whih Issmolyddsothbodstigdthslfsltio t,whihdds o th miility d bod tig. Th id is tht miilitis tht hoos to is di t fom thos miilitis tht hoos ot to is d th is disio is xogos to th tig of th bod. 1.. Th Ubisd Vl of Is I solv th iss of bisd stimt ( ˆOLS) of by fosig o isd d isd bods issd by th sm miility. Stig th is bfit fom th slf sltio t is ossibl bs th miilitis who hv otstdig bods tht both isd d isd. Th t lst two sos why miility my hv both tys of bods otstdig; o os wh miility ds to iss mo dbt th th mkt is willig to bsob, oth o hs if th miility s mktbility hgs. Sos Clifoi wts to iss mo dbt th th mkt wts to by. Howv, th mkt my b willig to by isd dbt istd bs of divsifitio. I tht s Clifoi by is o som of it s dbt d ith is mo dbt o y low yild o th oigil mot of dbt. If, ov tim, miility with isd
15 otstdig dbt hs hg i it s mktbility sh tht is is bfiil d ds to iss mo dbt th w dbt will b isd. This vlts th is bfit by stimtig th di btw isd d isd bods of th sm miility with th sm tig whil otollig fo ll oth obsvbls. To void bis, gl obligtio bods sd to otol fo di t ights to sh flows o di t fdig sos. Th followig gssio movs ll obsvbl iss htistis by otollig fo iss fixd ts. Sd i,j,,t = 1,t Isd i + Iss,t Iss + k,t X i,k + s,t s + i,j,,t, (1.3) wh Sd i,j,,t, s, dx i,k s bfo d Iss is fixd t otollig fo th iss sifi ts. I gssio.1 1 ovids th bisd stimt of th is t o miil bod yilds. 1..3 Th Vl of Slf Sltio I this stio I stimt th vl of th slf sltio t. Th ititio bhid stig ot th sltio ito is omot oms fom th vios gssios. Th bisd stimt otis th bfit of is d th sltio ito is t. Sbttig th bisd stimt of th is t fom th bisd stimt of th is t ods stimt of th t of slf sltio. Rgssio.1 stimts th di i yilds btw isd d isd bods holdig ll ls ql. I oth wods th 1 o it of qtio.1 is: 3 1 = IsV l 1 fom gssio 1.1 is th is vl ls sltio ito is vl 1 1 = IsV l + Slf Sltio By sbttig th di s of ths stimts I m lft with stimt of th
1 slf sltio t. 1 1 3 1 = Slf Sltio Th followig gssio ts th bov ititio. Sd i,j, = 1 Isd i + ll i Isd i + 3 ll i + X i,k + X i,k ll i + i,j, (1.4) wh ll i is idito vibl of whth bod i is issd by homogos miility, Sd i,j,,t sts th sd to tsy fo miil bod i, issd by iss j with tig i moth t., d X i,k is vto of k stdd otols s bfo. ll th gssios fo tig of. Th ot ogh isd GO bod tstios i od to migfl sttistil tsts fo oth tigs. 1..4 Robstss Chk I stio 1.. th stimt of is bfit ws oly o mixd isss whil th slf sltio t ws stimtd sig both mixd d homogos miilitis. To ot fo th ossibl di btw th gos I stimt th imt mixd miility hs o isd bod omd to th imt of homogos miility. Sifilly, I gss: Sd i,j, = 1 ll i + X i,k + X i,k ll i + i,j, (1.5) wh vibls th sm s bov. 1. Rslts I stimt th slts mothly d ov fo di t tim iods. y to d ly to Dmb, st th tim iod bfo d ft th stok is of th miil bod iss dod. y to y d to Dmb st th tim iod bfo d ft S&P dowgdd th miil bod iss. Th tim iod od th stok mkt do is sigifit if ivstos od bot th iskiss of th iss. Th iod ovig th dowgd is of o to miil bod ivstos
1 if th ivstos qid to hold sitis bs dowgd wold fo thm to sll thi isd miil bods. I fist xmi th bisd stimt of is vl. Fig 4. sts th vl of is fo th vg is. O vg is is sosibl fo ight bsis oits (bs) ds i yilds ov th - iod. Stig th - tim iod ito th fo iods dsibd bov shows tht is ovids ight bs do i yilds fo ll iods. Th vios stimts of th bfit of is by tim iod b s i tbl 4.5. Whil th slts fo h tim iod sttistilly sigifit I lso fid tht th tim iods ot sigifitly di t fom h oth osistt with ight bs bod yild dtio ov th ti tim iod. Lookig t th bfit of is o mothly bsis ovids mo dtild xltio of how th is bfit hgs ov tim. Is ds yilds by oximtly ight bs fom y to Dmb. Fom y to y th oit stimts of th bfit of is dsig bt th stimts ot sigifitly di t fom zo. ft y th is bfit is sttistilly sigifit d ds yilds by ight bs o vg. t o tim is is sosibl fo sig isd yilds to is bov isd yilds. Th mkt did ot woy bot th lims yig bility of th is s wh th miil bod is s stok is dod, bt wh th tig of th iss dod th mkt got od. tig dowgd mt th bility d svis ovidd by th iss w dd. Ivstos bm woid tht losss wold ot b ovd if iss limd bkty d th liqidity of isd bods ws hgd o th bods w o log td. Th vl of is is omosd of my di t bfits fom moitoig d litl ts to liqidity hmt. Ufottly it is lmost imossibl to distgl th di t bfits ovidd by h t. Bt th slts sggst tht is dd yilds fo isd miil bods dig th ti iod of -. Nxt I bkdow th is bfit by is. I xt tht thos iss, tht mid with high tig, osisttly ovid dtio i yild to isd bods, whil th iss who w svly dowgdd o i bkty ovid smll dtio i yild o o dtio t ll. Fig 4.5 sts th is bfit fo th is FS whih ws dowgdd fom to + d tly mis t +. Dsit th dowgd FS ovids isig yild bfit dig th isis bs of high mkt tity bot th miilitis oomi oditio. s th oth iss fth dowgdd, th is bfit fom
FS iss fom two bs to fiv bs. BI d BC who w svly dowgdd dig th isis, BC fild fo ht 11 bkty i 1 d BI is td BBB, st di t stoy of th bfit of is. lyzig figs 4.3 d 4.4 shows tht BC d BI follow simil td bt with di t mgitds. Both iss ovid dtio i bod yilds io to thi stok i do with BC is dig bod yilds by 11 bs d BI is dig bod yilds by two bs. Sttig i Novmb th bfit ovidd by is dlis whih slts i BC ot ovidig is bfit ost tig dowgd whil BI dos ot ovid bfit bgiig i h. Nxt I xmi th t of slf sltio. Fig 4.3 shows th mkt hgd high yilds fo isd bods with dlyig tig omd to isd bods. Tbl 4. ovids vg stimt of 13 bsis oits ov th ti sml. Eith th mkt thiks tht isd bods tlly iski th isd bods, h th is i yild ssoitd with big isd, o th xists oth di btw isd d isd bods tht th mkt is. This slt sots liqidity stoy t foth i this ov th lssi siglig stoy fo whih th oosit slt is xtd. Th slf sltio t b ittd s th di i yilds btw isd bod d isd bod if th isd bod did ot hv is. Pio to th do i stok is of miil bod iss th isd miil bod wold td t six bsis oits high th isd bod if th isd bod did ot hv is bt ft th stok i do th di iss to 1 bs. Bfo th dowgd of th iss th is six bs is i yilds btw isd d isd miil bods, whs ft th isis th di btw bods is ow bs. Chtistis tht s miility to hs is htistis tht s th miility to b iski o lss liqid dig isis. Wh lookig t th sltio ito is vl by is th sm tt s i th vl of is s. ll th iss hv isig t o th yild of isd bods. Howv, th vl of slf sltio ito FS is stys los to zo i fig 4. d dig th iss fltts od ight bs omd with BC wh th vl stts o isig by 1 bs yilds d otis to is yilds by bs ft th dowgds i fig 4.. Pttig th vl of is d th vl of sltio ito is togth I fid tht th s of th vsl i yilds btw isd d isd miil 1
1 bods is ot d to th is bfit bt sltio ito is. omiso 1 of tbl 4.4 d 4.5 shows tht 1 is gt th 1,tho 3 itothisd dmmy fo th bis gssio is lg th th o it o th isd dmmy otollig fo fixd ts of th iss. Th vsl of yilds is ot fltio of is bt fltio of th di i dlyig htistis btw isd d isd miil bods. Whil tht di iss i tims of tity, th di is lwys th d it is oly with th movl of dit hmt tht th di b s i th yilds. Dig th tim of th dt sml BC limd bkty bt th ot hd ot filizd th bkty l. Th slt ws tht v i bkty BC ws qid to y ot 1 t o y lims. I itt th ft tht th is ws still tthd to th bod to m tht th mi bfit of is oms fom th iss bility to gd th bod s tig to. If th bfit ws d to dit hmt is wold ovid bfit v ft th is s dowgd. O ossibility fo th xist of th slf sltio t is th itisi di btw miilitis tht mixd vss homogos. I tst fo xistig di s d fid tht fo isd bods th is o di i sds ttibtbl to th ty of miility. This is i gmt with th liqidity modl bs y bod withot is dos ot hv liqidity oblms so th yilds shold ot b bsd o th iss. lso, th o di s i sds btw isd bods of homogos d mixd isss. Th slt tht bods of mixd isss d homogos isss simil show i tbls 4.13 d 4.14 sot th fidig tht th slf sltio t is slt of di btw isss who hoos is d thos tht do ot hs is. Usig th S&P dt vilbl fom 1- I look t th liklihood of is fo ti bod htistis ildig ss dt ltd to th oditio of th issig miility. Th slts simil to th litt i tht gl obligtio bods, d high td bods lss likly to gt is whil lg d log mtity bods mo likly to gt is. Th w ss dt sggsts tht sh mss of fiil stgth s dbt otstdig, dbt issd, itst o dbt, wgs d oty tx o it bsis do ot t th disio to is. Th dt shows tht s xtd is ovids ositiv bfit thogh th isis. Bt th sltio vl iss yilds so th isd go hs high yild withot is th th isd go. Th stdd siglig modl of Thko (1) sggsts th high dit qlity tys wold hs is to sigl thi
qlity, bt th dt shows th miilitis tht hoos to by is wold hv hd high yilds if thy did ot by is th isd bods, ot to th siglig ditios. y liqidity stoy is i li with th t litt d miil fidigs i Nd d Sigh (4). I th ltt miil wok th thos fid tht th liklihood of is is isig i mtity, log of mkt vl d dsig i high bod tigs. Thy fid tht low td d td bods lss likly to b isd d to th ft tht th osts to iss th lgst fo td miilitis d thfo iss do ot slly o is to td o blow ivstmt gd td miilitis. Th fidigs i this g with th slts i Nd d Sigh s th log th mtity of th bod th mo ivstos od with liqidity, h lg liqidity bfit s to log mtity bods. Th high liklihood of is fo lg mkt vl isss is xlid by th ft tht s th mkt boms sttd with bods fom o iss, it boms hd to sll d fid ivstos fo ths bods, so sh miilitis hv lg liqidity mim, h th vl of is gos. Piisky d Wg (11) fid tht th high th dbt iss dig y ltiv to oltio, th mo likly miility is to gt is whih oiids with th liqidity stoy. This is lso osistt with Go, Shs, d Tzik (4) who disov tht giv th hoi btw ifomtio dislos d is miilitis hoos is bs dislos is ostly fo fims with lg dislos osts. Is will b bfit to th miilitis with high mktbility osts. I fid tht omtitivly o d bods mo likly to gt is whih gs with th liqidity stoy bs omtitiv o igs h fst wh s gotitd o igs giv th dwit tim to mkt th iss mkig th liqidity mim gligibl. This liqidity itttio omlmts Shi, Coh, d Bgstss (1) by xliig th yild vsl thy domt. Th stio of bfits is bl to xli why isd bod yild is bov isd bod yild bs v thogh th dlyig dit qlity ws otolld fo, ot ll th dlyig di s w otd fo sh s th di i tl liqidity of th two gos. This modl wold lso xli why mtl fds d ivstmt omis who ot fod to liqidt lik th td otio bod ogms wold hold o to th isd bods bs thy od bot th i imt of sllig isd bod, tht is th liqidity mim ssoitd with ths bods hs isd. Shi, Coh, d Bgstss (1) fids tht isd bod dlyig tigs gdd mo th isd bod tigs. I do ot thik this slt is
1 sisig giv th otol d ovts t o isd isss by iss. I wold g isd bods ot wos qlity th isd bods bt isd bods tly td d isd bods hv togh tim ommitig ifomtio to th mkt. Whih is why thi oigil tigs low th dsvd. Si th is kows th bods thy isig btt th th mkt thiks this is fltd i mim is. Th iig of th t isk of miilitis is otd i by Li (11) tht fids th iss hg th miility thy kow to b btt qlity th ost fo thi bli tig, whil thy hg th miilitis kow to b low qlity high mims i li with thi low qlity. So miilitis ot gttig bfit bsd o thi dit tig bt ths miilitis tht ot ovy thi t qlity to th mkt most likly hv ifomtiol symmtis o mktbility isss tht will llow is to ovid bfit to th miility. Giv th stimts fo th bfit of is t sh smll mgitd of ight bs th qstio iss if is wold ovid bfit ft otig fo is ost. This ddsss this o with stimt fom Li (11) who fid th is mim is btw.1 d.1 bsis oits o vg doll. Whih lvs bfit to isss of 5. to.1 bsis oits. 1. Colsio Th mi otibtio i this is stig th is bfit ovidd by is fom th slf sltio t d ovidig miil stimts of ths two omots. O vg is ds yilds by ight bsis oits d sltio ito is iss yilds by six bsis oits io to th isis. Dig d ft th isis is ds yilds by ight bsis oits bt sltio ito is iss yilds by 1 bs sig th vsl fod i Shi, Coh, d Bgstss (1). I lso otibt lttiv xltio of why miilitis did to hs is. iilitis ly o th itl mkts to k thi itis flot. Dig th isis miil bod iss w dfltig bfo th miilitis thy w isig this md ogss qstio th os of miil bod is. Cogss wts to hl miilitis iv h fiig whih is why thy mk miil bods tx xmt. Thy wt to kow if is ovids bfit o if th bfit big ovidd b odd by h mthod. Fo xml if th bfit of is hs to do with th di t tig sls sd by oody s th
ogss will ty to hg th wy tigs ssigd. It is imott fo ogss to kow how iss ovid bfit. This wy Cogss ovid h d it ss to th itl mkts fo miilitis. Elimitig dit tigs s itl qimts d isig ifomtio dislos o mkig ifomtio dislos h wold likly d th s of miil bod is. Rgltos shold tk ito ot wh th is bfit is omig fom i moldig gltios. Th is lot of hg omig i th miil mkt fom th imlmttio of Bsl III to th shift i oody s tigs to globl sl.
3 Cht Th E t of Is o Liqidity.1 Itodtio Th t fiil isis sw th olls of my ivstmt bks d is omis. Tdig dsd d sds widd i most dbt d divtiv mkts. Th fiil olls ws i lg t d to th dflts i th sbim mkt, th misiig of otty isk d th misdig of th t oltio btw ssts by th dit tig gis. ll of ths oblms ld to fi sls of ssts i som mkts d th shtdow of oth mkts. Tdig blow mkt vl d lk of tdig tivly liqidity oblms. Liqidity is highly dbtd ot, with my di t dfiitios flotig od. Whil liqidity itslf hs my itttios, th is gl osss bot whih mkts liqid d whih mkts illiqid. Ev dig th bst of tims th miil bod mkt is osidd illiqid. Th miil bod mkt ws td by th fiil isis both ditly thogh dd tx vs d iditly thogh th olls of th miil bod is omis. iil bod is omis, lso kow s mooli gtos, itdd to is oly miil bods. Howv, io to th fiil isis moolis lso sold Cdit Dflt Sws (CDS) d is o otgg-bkd Sitis (BS). Bs th moolis ovidd CDS too hly d hd lg itl losss, thi dit qlity d os i gl i qstio. Th tity bot th moolis vibility ws so gt tht, t th oddig of th Nw Yok is glto, W B t td Bkshi
4 Hthwy Is to is miil dbt. With o miig td is (ssd Gty), o BBB+ is (iil Bod Is ss (BI)) d th miig fiv bkt, th qstio iss wht is th ol of is? Wilko (1) miilly xmis th dtio i miil bod yilds ttibtd to miil bod is d sggsts tht o mhism thogh whih is hls d miil bod yilds is by imovig th liqidity of th dlyig miil bod. Th t dds to th miil litt o msig liqidity i illiqid mkts. It miilly xmis th mhism thogh whih is ts liqidity. I tst th di i liqidity btw isd d isd bods d xtd th lysis to ild th imt of th tig dowgds of th miil bod iss o miil bod liqidity. This is ot th fist to xmi bfits of miil bod is, bt is th fist to tst th liqidity di btw isd d isd bods both bfo d ft th fiil isis i systmti m. Itstfothsofliqiditysigthmssommotothoot bod mkt, mly th mihd ms, Roll s bid-sk sd, d tov. I gss h ms o isd dmmy whil otollig fo bod htistis. This llows m to om th liqidity of isd bod to th liqidity of isd bod ov giv tim iod. This xmis ot oly th liqidity of isd bods ltiv to isd bods, bt how th isis ts th liqidity of isd bods. I di -i-di gssio to s how is s t o liqidity hgs ov th isis iod, whil otollig fo th ovll hg i th th miil bod mkt liqidity t th sm tim. Ifidthtthliqidityofisdbodsislowltivtoisdbodswhih sggsts tht th dtio i miil bod yilds d to is is ot d to liqidity bfit s disssd i Wilko (1). Uo omig th liqidity of isd bods bfo th isis to thi liqidity ft th isis, th slts idit tht liqidity dss ft th isis. I ft it is th dowgd of th iss thmslvs tht omts miil bod liqidity to ds. This imlis tht th iss bility to is bod tigs to is how thy w ovidig liqidity ssist. I look t th t of is, holdig ostt th miil bod tig, d fid isd bods mo liqid th isd bods fo vy tig. Dig th - tim iod th slts idit bods w lss liqid th o- bods, s msd by th th mthods dsibd bov. Th t of is o liqidity b lid to mkts with simil h-
5 tistis sh s ivt motgg is (PI) d BS. Not tht PI svs idividl isss of motgg dbt, whs th BS mkt hs is i th fom of sitiztio, whih mloys ov-olltliztio d di t th stts to imov th dit of ti ths. By otst, iss-ovidd is is ot ommo i oth dbt mkts sh s th oot dbt mkt. Th is ogizd s follows; Stio.1 ovids itodtio. Stio. xmis bkgod ito th lys d stt of th miil bod mkt, whil stio.3 viws th t litt ddssig dbt is d liqidity mss. Stio.4 sts th dt vilbl. Stio.5 dvlos gmt fo is ovidig liqidity s wll s my mi hyothss. Stio. dissss mthodology fo tstig th hyothss. Stio. smmizs th slts. Filly, stio. olds.. Bkgod I this stio, I disss th ol of miil bod iss d dit tig gis i th miil bod mkt. I dditio, I xmi th ol of gltios tht llow is to t liqidity, s wll s lvt fts of th miil bod mkt tht mk it illiqid omd to oth mkts. iil bod is woks di tly fom is i oth mkts. I th miil bod mkt th miility mks o-tim fot ymt ot of th bod ods to th is, who th ovids is fo th lif of th bod. If th miility dflts, th is sts i d mks th shdld itst d iil ymts, ith til th miility sm ymts, o til th bod xis. I th ss wh th miility is bl to sm ymt, th miility is qid to y bk to th is y missd ymts d lgl fs qid fo gttig thos ymts bk. iil bods, lik oth bods, tyilly iv dit tigs fom Stdd d Poo s (S&P), oody s, d odigly, fom Fith who is th thid lgst miil bod t. S&P d oody s hv b tig miil bods fo ov 1 ys. S&P ws th fist of th dit tig gis (CR) to t miil bods with th high tig, of th is o th miility, fo isd miil bods. Not log ft, oody s lso swithd fom hvig two tigs fo th miil bod, o fo th miil bod d o fo th is, to th high of th two tigs. I th st oody s hd di t tig systms fo oot bods d mi-
il bods. oody s hs t ot tsitio tbls tht show tht -td gl obligtio (GO) 1 miil bod is qivlt to -td oot bod. Th two di t tig sls t disot btw iss td o th oot sl d th miilitis who td o th miil sl. This llows miil bod iss to ovid tig to miilitis fo th i of is, ottilly hlig th miil bod liqidity. Cti tys of ivstos, sh s moy mkt mtl fds o is omis tht hold miil bods, mo likly to by -td miil bods. Sh ivstos ith gltd s som moy mkt mtl fds thogh SEC (Sitis d Exhg Commissio) l, o thy hv itl qimts, lik is omis, to hold ssts of high qlity. If iss hs tig, th lg ool of ivstos is vilbl to hs th iss s bods, h isig th bods liqidity. oody s is tly shiftig ll tigs ov to globl sl fo si omiso. S&P lims to hv lwys td ll bods togth o th sm sl. It its th di ig tigs distibtio fo oot bods d miil bods s oof of sig th sm sl. lmost % of miil bods td o btt, omd to oot bods wh lss th 5% td o btt. oth htisti of th miil bod mkt tht otibts to it s illiqidity is tx-xmtio. iil bods xmt fom fdl txs d stt txs if yo sidt of th stt i whih yo boght th miil bod. Bs of th tx xmtio, ivstos i th highst tx bkt will bfit th most fom holdig miil bods. Tyilly ivstos of miil bods i th highst tx bkt d lookig fo sf ivstmt. Bs of th tx xmtio i th miil bod mkt, th mjoity of ivstos idividls. s th Fdl Rsv s Flow of Fds ot shows, ov % of miil bods hld ditly o iditly (thogh mtl fds) by idividls. Is omis lso hold lg t of th miil bod mkt, s do sio fds. Bks, who sd to hold 3%, ow hold los to % d to th 1 tx hgs, whih md it mo ostly to hold miil bods. Th omositio of ivstos xbts th illiqidity iss bs idividl ivsto i this mkt holds oto miil bods, ldig to fw tds th i oth mkts. This is vidt i my sml, i whih th vg bod tds i tims y. By otst, th vg stok tily tds mo th i tims y. Th ov 5, miilitis i th Uitd Stts, d h miility is 1 Gl obligtio bods ovid fo th fll fith d dit of th issig miility.
ottilissofmiilbods.lgvolmofisssmksitdi ltfo ivstos to tk th tim to l bot ll th di t isss. This iss sh osts, ldig to lss liqid mkt. oth iss otibtig to th illiqidity i th miil bod mkt is th vilbility of ifomtio. Bs miilitis ot gltd s losly s fims otig ifomtio, ifomtio o miil iss b ov y old d di lt to obti fo ivsto..3 Litt Rviw I sit of th ss litt o liqidity stimtio i th miil bod mkt, litt xists o thois whih xli th bfits of miil bod is. y thois sggst is mks miil bods mo tttiv whih my ditly o iditly t liqidity. Th hls thogh whih dbt is t liqidity, ild siglig, ifomtio dislos, tx-bsd tiol, d litl ts..3.1 Siglig Thko (1) sts o of th fist thotil xltios fo dbt is. His thid ty siglig modl lis to y mkt i whih thid tis gth ifomtio to llvit lmos oblm. Howv, i od to look t qilibim h foss o dbt is, sig th stdd lmos mkt with symmti ifomtio wh isss kow thi ty bt th ivstos do ot. I th modl, thid ty ys f to l th ty of th iss d th ss tht ifomtio to sll thm is. Th mot of is boght by th iss is isig i th qlity of th iss d th mim hgd is dsig i th qlity of th iss. H fids stig qilibim whby th highst qlity isss by th most is, d o-stig qilibim i whih ll isss flly isd d th mkt itst t is th isk f t. Th isss sigl thi qlity thogh th hs of is. Thko mks f to th ft tht th ty of is h is disssig is ol i th miil bod idsty. His modl sts o th ssmtio tht isss did how mh is to by. Howv, i lity miil bod is is ll o othig disio d th highst qlity isss do ot by is. Nothlss, Thko s modl ovids mhism whby isss might by is fo th siglig bfit gdlss of y is bfit. Th
my istittiol ivstos i th miil bod mkt who mst hold ti qlity sst. Thko s modl sggsts tht isss who hs is shold b mo liqid th thy wold b othwis bs th isss will hv lg ivsto ool th withot is..3. Ifomtio Dislos I th t litt o miil bod is, Go, Shs, d Tzik (4) fid vid tht is is lso tool fo ovidig ifomtio. Thy om ihig with Psylvi d fid i Psylvi, wh gltios lss stigt, miilitis td to gmt limitd dislos with is. I otst, ihig isss, with tight dislos lws, s lss is. Dowig d Zhg (4) oit ot th miil mkt is lss tst th th qitis o fts mkts, si miilitis ot sbjt to th sm disloss s blily tdd ootios. Whil thy xmi th volm-voltility ltioshi i th miil mkt, lss tsy my lso motivt iss to gth ifomtio. Rt fidigs vl tht mb of stts hv lg fdd sio libilitis d to di t otig mthods. Novy-x d Rh (11) ovid vid tht ths fdd sio libilitis is th ost of boowig fo stts. Pio to th w otig mthod by whih stts will hv to domt ths libilitis, th siz of ths libilitis hs b l, lvig ivstos ti bot th qlity of th iss. O so ivstos lik miil bods with is is tht iss bl to s thi xtis d hv dstdig of wh th libilitis xist. log th sm lis, Potb d Rb (1) disss th di i fisl ostits btw stts. Ifomtio tht my b hd fo ivstos to xmi wold llow fo oomis of sl d lv bfit to iss. By mitigtig som of ths ifomtio symmtis, is is bl to d sh osts. Withot is th dwit might hv to fom mo i-dth lysis of th iss i od to fid willig ivstos. If is ds sh osts, th I shold fid tht is imovs liqidity si low sh osts tslt ito lg dmd o lss distotiv is..3.3 Clitl E ts Diso (1) xmis mkt sgmttio thoy s th so fo miil bod is. H xmis th t of xss dmd fo low isk bods
d xss sly of high isk bods. This stds ot fom th vios s by ildig thotil modl to motivt th miil tsts d th fist, to my kowldg, to ild mkt wid ms of liqidity i th xmitio of th miil bod is disio. Th dt st sd is sigifitly lg d mo mod th vios s. I th to (1) modl ivstos oly ivst i ssts thy kow bot. O thik of tig s givig ivstos th ss tht thy kow bot th miil bod. Ths, miility with itisi tig of lss th my gi mo fom is th th imovmt i th tig td by is. Th litl t imlis tht liqidity o isd bods shold b gt whil th is is solvt. If is is movd, th liqidity mss shold dtt dsiliqidity.itstfohgiliqidityoissdowgdd..3.4 Tx-bsd tiol Nd d Sigh (4) modl tx-bsd bfit of is. Thy g tht is ovids tx bitg t d itl loss t. Th tx bitg imovs th dsibility of th is, wh th itl loss t dss th dsibility. Thy lim thi dt sots two ditios; log mtity bods bfit mo fom is d th is bfit is o-mootoi i dlyig dit tigs. Bildig o th id tht iss bl to ovid bfit thogh divsifitio, Piisky d Wg (11) ttibt is bfits to th symmti ttmt of tx xmtio btw stts. Fo ist, ivstos hs ot of stt bods to hiv divsifitio bfit. Th bfit oms t th ost of thi stt tx, lthogh is omis itly divsify oss goghi gios. Piiisky d Wg miilly show tht th liklihood of is iss with th lol sly of miil bods i th mkt d th siz of th bod o ig. Thi miil fidigs sggst is imovs liqidity d ovids so to hs is wh th lol sly of miil bods is lg. Th ossibility of is ovidig itst ost svigs thogh imovig th liqidity of miil bod hs b mtiod i this litt bt hs yt to b ivstigtd. Th miig t of th litt viw osids liqidity i mosystmtifmwok. Liqidity is bod ot tht is ot lwys lly dfid. Fo th oss of this th dfiitio of liqidity will b th o dotd by Nis (), Liqidity
3 fs to th bility to tst qikly d sily i sity withot sbsttilly tig is. Nis () domts th liqidity mim ssoitd with holdig miil bod istd of tsy bod. Th liqidity mim is th xss yild qid by ivsto to hold miil bod istd of ombl tsy bod. Th fw s tht hv ttmtd to miilly t th liqidity di d to miil bod is. I t wok, Shi, Coh, d Bgstss (1) look t miil bod liqidity, Thy domt (-isis) bods with is td mo fqtly th bods withot is. Bt ft th miil bod iss dowgdd, bods with is td lss fqtly th bods withot is. I imov o thi lysis by tkig mo i-dth look ito th t of is o liqidity dig th fiil isis. Both Shi, Coh, d Bgstss (1) d my wok h fos o th fixdt log-tm miil bod mkt. lttivly, oth ty of miil dbt is vibl t miil dbt, whih is issd by miilitis, shot tm, d hs vibl itst t tht dds o th dmd fo th bods. Bs of th shot tm t of this mkt, isss td to gt gmts fom bks, o liqidity ovids, sh tht if th iss is goig to miss ymt th bk o liqidity ovid will lo thm th moy to mk th ymt. tll d Kvhk (1) look t th t of liqidity isk i th otxt of th vibl t miil dbt mkt. Usig sml of 5 bods, thy fos o liqidity ovids istd of iss d fid tht th dit tig of th liqidity ovid hs lg imt o th o ig t th th dit tig of th dlyig bod. Ths vios s th oly s tht look t th liqidity t of is dig th isis. O of th mi hdls i liqidity sh is idtifitio. Bs th miil mkt is xtmly omlx with ov 1.1 millio sitis tdig lss th i tims y o vg, stdd liqidity mss do ot lwys wok. Th liqidity mss ommo to oth mkts sh s th oot bod mkts d th qity mkts : bid-sk sds, zo ts, LOT ms, gggt liqidity fto, tds bod, mihd ms d gtiv ovi of i hgs. I disss ths mss blow d xli why I m bl to s tov, bid-sk sd, d th mihd ms. Th miig mss qi mo tstios th wht is ovidd by th miil bod mkt.
31.3.5 Ngtiv Covi of Pi Chgs Bo, P, d Wg (11) bild o wok by Hg d Wg () d Vyos d Wg () by sig th gtiv of th ovi i i hgs to ms liqidity. Thy fid tht liqidity is id i oot bods. Ititivly, th gtiv of th ovi i i hgs sggsts tht th mo illiqid sst th lg th vsl i is. I siml ss this wold b th qivlt of th bid-sk bo, bt mo glly otis mo ifomtio th th bid-sk sd. Bo, P, d Wg dmostt this ft by lltig th imlid vl gtd fom th bid-sk sd d gssig both ftos o th bod yild. Thy illiit ifomtio byod tht of th bid-sk sd xlid by th gtiv of th ovi i i hgs. Bs Bo, P d Wg sig hgs i is, thy qi tht bod td 5 t of th dys i th obsvd tim iod to b sd i msig liqidity. This sts oblm with miil bods, bs th zo bods td ov 5% of th dys dig -..3. Nmb of Tds Shi, Coh, d Bgstss (1) s th tds bod to ms liqidity. Thy domt (-isis) bods with is td mo fqtly th bods withot is. Bt ft th miil bod iss dowgdd, bods with is td lss fqtly th bods withot is. Thi liqidity ms is th vg mb of tds bod fo th bod ty (whth isd o isd). Thy fid tht i Dmb bods withot is hv oximtly 4.3 tds bod whil bods with is hv six tds bod. By th d of bods withot is mo liqid, with fiv tds bod, th bods with is, 4. tds bod. Giv th t of th liqidity ms, it b sily lid to th miil mkt. Howv, by lookig t mb of tds o my ovlook di t sts of liqidity. This ms fils to ot fo ivstos tht might wt to hold thi bods til mtity lss thy hv liqidity h, i whih s thy wt to sll thi bods with th lst i imt. I this s it is ot l tht th mb of tds mtt, th th th imt td itslf hs o th mkt. This t ss tov to ms liqidity istd of mb of tds, si tov djsts fo th mot of dbt otstdig.
3.3. gggt Liqidity Fto Psto d Stmbgh (3) dvlo liqidity ms fo th stok mkt. Thy gss stok s xss t o ostt, th stok s t, d th sig of th stok s xss t ittd with th doll volm fo th stok. Thy th gggt ths mss by tkig vg d fid tht thi liqidity fto is sigifit fo sst iig. I od to ly this to th miil mkt o wold d to llow fo th ft tht tds ifqt, d thfo ts will b ov log tim fms. Wg, W, d Zhg () ly th Psto d Stmbgh mthod to th miil mkt. Thy llt th liqidity ms fo bods with ov 1 obsvtios i th giv moth. Thy th gggt oly th mss fo th bods sd i thi sml. Giv th dt, th bods thy hoosig will vy fom moth to moth. Thy fid tht thi liqidity ms is imott t i lltig th yild o miil bods d tht th ssitivity of thi ms to yilds is dsig s tigs is. s th m imlis th gggt liqidity fto is gggt ms of th liqidity i th mkt. This is ot wll sitd to lyig liqidity ms to idividl bods s I do i my t wok, thfo this dos ot s th gggt liqidity fto..3. Tstio Bsd Liqidity s Lot s d Zo Rts Lsmod, Ogd, d Tzik (1) (LOT) t ms fo liqidity bsd o zo ts. zo t is wh th i of sity dos ot hg ov giv tim iod. Thy look t th ootio of zo t dys ov y d om this ms to oth oxis fo liqidity sh s, fim siz d tstio osts. Thy fid zo ts ivsly ltd to fim siz d t s oxy fo tstio osts. Th ititio bhid zo ts is if o td hs it mst b tht th bfit of tdig fo th mgil ivsto dos ot otwigh th ost of tdig. Th low th osts of tdig, whih ild bid-sk sd, ommissios, xtd i imt d ootity osts th mo liqid th sst. Th ms ws td sifilly fo sittios wh th is ot th ssy ifomtio vilbl fo lltig th bid-sk sd sh s, th oot d miil bod mkts. Ch, Lsmod, d Wi () ly th LOT ms to th oot bod mkt d fid tht th liqidity omot of th yild sd is ot ditly ltd to dflt isk. lso by omig th Lot ms with th bid-sk sd thy om
33 to th olsio tht th ms b sd i liqidity stdis wh ifomtio is ss. Bkt, Hvy, d Ldbld () s th ootio of zo ts to oxy fo illiqidity i mgig mkts wh dt is ss. Thy lso t i ss ms, whih tis to ot fo ostiv o-tdig dys, wh mo dys i ow of o-tdig my sigify mo illiqid bod. Thy tk th sm of th wightd ts of idx, ildig oly stoks with zo ts, wh th wights sd th itliztio wights of th stoks d th ts th ts if th stoks hd tdd. Thy divid this sm by th sm of th wightd ts of ll stoks i th idx. Thy fid this ms is highly oltd with th zo ts ms d thfo good oxy fo liqidity. This ms oss oth ossibility of msig th liqidity t of is i th miil bod mkt. Howv, bs th miil bod mkt is ov th ot mkt th oly vilbl dt is fo tstios tht o. I m bl to llt zo t dys s I do ot kow if th vl hgd o if th ws simly o td. This is why I m bl to s th two vios mss. Bid-sk Sd O of th most ommo mss of liqidity is th bid-sk sd. Th smll th sd th low th i imt fom sllig sity d thfo th mo liqid th sity. Logst, ithl, d Nis (5) bl to st ot th dflt d o-dflt omot of oot bods sig ds is. By gssig th o-dflt omot o mss of liqidity sh s th bid-sk sd d iil mot otstdig. Thy old tht th o-dflt omot is stogly ltd to ths liqidity mss. His d Piwow () d G, Hollifild, d Shho () xmi liqidity s msd thogh tstio osts i th miil bod mkt. His d Piwow () stimt sody tdig osts d lyz th ftos tht t thos osts. Thy imov o th li litt by tkig dvtg of th SRB dt st, tht I s, to ioot ifomtio fom vy tstio. Thy imov o th litt thogh btt dt tht ilds timig of th td, siz of th td, d th ty of td (i.. by o sll). Howv, thi mi fos is ot o how is imts liqidity. Thy do osid is by ildig it s omlxity ft of th bod d lookig t how tstio osts hg with th omlxity of bod bt thy do ot otol fo th dlyig bod tig. His d Piwow gss th bod t mis y oo owd o shot
34 tm idx, log tm idx, tm tht ots fo wht ty of tstio it ws (i.. by o sll), d two tms tht ot fo th siz of th tstio. Thy s th o its o th siz vibls d ty of tstio to th stimt tdig osts. Thi slt tht bod tdig osts ds with dit qlity bt iss i bod omlxity lvs o th qstio of whth th ds i tdig osts fom imovd dit qlity ovidd by is is ogh to o st th is i tdig osts fom th isd omlxity. oth imott fidig of th is tht tivly tdd bods ot h to td th ifqtly tdd bods, whih mhsizs th imot of how o mss liqidity. G, Hollifild, d Shho () is simil to His d Piwow () bs thy ms tstio osts, bt G, Hollifild, d Shho () s di t stimtio oh. Whil His d Piwow () s tim sis stimtio oh, G, Hollifild, d Shho () s sttl modl to bkdow th ost of tstios ito two ts: th dl s mkt ow d th dl s ost. This di t oh lds thm to simil slts s His d Piwow..4 Dt I mg th di t dt sos to t omhsiv miil bod dtbs. iil Sitis Rlmkig Bod (SRB) ovids th tstiol dt fo th fo y iod ovig -. S&P ovids th tigs d bod htisti dt, whil Bloombg ovids dditiol bod htisti dt. I dsib th vios dt sos d my mthods fo mgig th dt blow. Th SRB tstiol dt otis ov millio tstios o ov, idividl log-tm miil bods. Usig th si of h bod, I mth th tstio dt with dt fom S&P. Th S&P dt otis stdd tigs, stdd tig hgs, S&P Udlyig Rtigs (SPUR), if vilbl, SPUR hgs, d bod htistis fom 1 to. SPUR sts th tig of bod withot dit hmt. If dit hmt dos ot xist fo th bod, th th SPUR tig will ot xist. Howv, bods withot SPUR my hv dit hmt. I idtify th bod s most t tig io to th tstio dt. So h bod hs th most -to-dt dlyig tig t th tim of th tstio. IslmthtstiowithBloombgdtildigllbility,mtity, o ig ty, oo, iss siz, bod siz, d stt i od to otol fo bod htistis. ll dt sts mthd by si.
35 I th mgd dt I stit myslf to tstios with ifomtio o tig d is stts. I mov tstios tht hv gtiv o zo yild, s thy o i th dt. I m lft with ov 13 millio tstios. gig th th sos yilds dt st tht ovs ll dily miil bod sody tstios fom to. Dfiitios of ll th vibls sd i th gssios show i Tbl 4.1. I ovid smmy sttistis fo th sbst of bods sd i h ms. Tbl 4.1 shows th dsitiv sttistis fo th mihd ms, wh h mihd vl is otd s obsvtio d Tbl 4. is wh h si tht tds is otd oly o s obsvtio. Th di btw th dsitiv sttistis imlis tht log mtity bods td mo fqtly, th vg mtity of td is 15.4 whil th vg mtity fo bod tht is t of sml is 11.. Th vg miil bod i th mihd sml hs mtity of 15.4 ys d oo of 4.45 t. Ilsobkdowthtdsbytigdosidthtig(thtigof th miility) d th tl tig (th high tig btw th iss d th is) distibtios ov di t tim iods. Th tts i th smmy sttistis simil oss dt sbsts fo th di t mss. Th tigs distibtio shows tht th sm tg of bod tds thoghot th ti tim fm, whil -td bods is s ftio of tds. This is l wh o looks t th tl tig distibtio, whih shows lg do i tg of tstios ft th iss stt to fil. oth itstig sttisti is th t of isd tstios ov th sml, whih dss ft th iss stok i dos. I som ss % of tstios w isd, bt ft th isis oly 45% of tstios w isd. Tbls 4.1-4. dsib th di t sbsts of dt, howv, th tds simil thoghot th smmy sttistis..5 Hyothsis Th imt of th t fiil isis o th miil bod iss ovids oit viomt fo miilly tstig som otstdig hyothss. oi, ss, d Ysd (1) sggst tht bods viosly ommoditizd thogh xt ottio bom lss liqid o th xt ottio is movd. Th ititio is tht ivstos do ot hv th o ifomtio o th dlyig qlity of th bod tht ws ottd. Wh th ottio, o, i th s of th miil bod mkt, th is, is o log vlbl, y ivsto tyig to sll
3 isd bod will ot gt its t vl d, will b lss likly to sll. s slt th bods will b lss liqid. This is th simil to wht hd i th miil mkt, so my iitil hyothsis is: Hyothsis 1. ds i th is s dit qlity dss th liqidity o bods with is. Th io ititio lso ms tht, if ivstos d to sll ssts, s thy did dig th isis, d thy ot sll bods with is t fi i, th thy mo likly to sll isd bods. This is bs th ifomtio o isd bods is -to-dt, d sh bods b sold fo fi i. This lds to th followig hyothsis: Hyothsis. Bods withot is will b lss liqid io to th fiil isis th thy ft th fiil isis. Shi, Coh, d Bgstss (1) fid bods with is mo liqid th bods withot is io to th fiil isis. Usig di t st of mss of liqidity to vlidt th vios slt ovids th followig two oositios: Hyothsis 3. Pio to th iss dowgds bods with is mo liqid th bods withot is. Hyothsis 4. ft th iss dowgds, bods with is lss liqid th bods withot is. Th litt o th litl t dissss how tig is ssy fo bods to b hld by ti istittiol ivstos. Th followig hyothsis tsts fo th litl t. Hyothsis 5. -td miil bods mo liqid th o -td miil bods. I th xt stio I dtil th mthods mloyd to tst th hyothss bov.. thodology..1 Liqidity ss y hoi of mss follows tht of H d Zho (), who s th mss to lyz th ts of liqidity o th o-dflt omot of oot
3 bod yild sds. I s tov t, stimtd bid-sk sds d th mihd ms to ivstigt if miil bod is ovids liqidity to isd bods. y hoi of mss is lso div by th fidigs of Goyko, Hold, d Tzik () tht ivstigt how wll liqidity mss fom o dily o mothly bsis gist wll-kow liqidity bhmks. I dtil ths th mss blow. Tov Rt s Fqy Poxy of Liqidity Isdilytovt,i..thtioofthtotltdigvolmidytoth mot of f vl otstdig, s ms of tdig fqy. T ovrt t = Volm t Otstdig t Th gl tiol wh sig th tov t s ms of liqidity is tht, th lg th tov, th mo liqid th bod. Th thoy t foth i oi, ss, d Ysd (1) sggsts tht ifomtiolly issitiv ssts mo liqid th ifomtiolly ssitiv ssts. Bs is mk miil bods ifomtiolly issitiv to th fdmtls of th miility, ll ls ql, I xt th tov t to b lg fo isd miil bods. Howv, wh th iss dowgdd d th viosly ifomtiolly issitiv bods bom ifomtiolly ssitiv, I xt th isd bods to hv high tov t, s ivstos ldy kow how to lyz th isd bods. Th mkt my ot kow how to i bods tht jst bm ifomtiolly ssitiv o ssitiv to dvs sltio Goto (), thfo bods with is will td lss fqtly. Roll s s Sd Poxy of Liqidity To stimt th bid-sk sd I follow Roll (4) : q Bidskt i = Cov( i j,t i j 1,t, i j 1,t i j,t ) wh i j,t =log i j,t d i j,t sts th jth i fo bod i o dy t. Roll s modl dmostts th tiv bid-sk sd qls two tims th sq oot of th gtiv ovi btw th i hgs i djt tds. I this I tly ld of w Cowi d Shltz (11) tht imovs o Roll s Bid-sk ms, whih I itd to osid i fth sh.
3 modl lg bid-sk sd ts lg bos i bod is, gtig lg gtiv oltio, d thfo low liqidity. Th lg is th bid-sk sd, th lss liqid is th bod. Bs isd bods ifomtiolly issitiv d hld by mo ol, I xt isd bods to hv smll i hgs, d ths smll bid-sk sds. mihd s s Pi Imt Poxy of Liqidity Th lst ms of liqidity oxis fo th i imt of tds. o liqid bods lss imtd by y giv td. I s th ommoly mloyd i imt ms itodd by Ykov d mihd (). Goyko, Hold, d Tzik () fid tht Ykov d mihd () dos wll i msig i imt i ss with low fqy of td dt, whih is why I s th mihd ms to oxy fo th liqidity t of miil bod is o miil bods. Th foml fo th mihd ms is: N i t X i j,t i j 1,t i j,t mihd i t = 1 N i t j=1 Q i j,t wh i j,t sts th jth i fo bod i o dy t, Q i j,t is th doll siz of th jth td fo bod i o dy t, d N i t is th mb of tds fo bod i o dy t. Th mihd ms is th vg tio of th bsolt tg hg i bod is ov th doll siz of th td. sig th i imt of td shold b th lst ms of liqidity i th miil mkt. Si ivstos td to hold bods to mtity it will b hd to s fqy mss of liqidity, d th ft tht w do ot obsv bid-sk sds my t o i lyzig th bid-sk sd liqidity ms. Thfo, th t of is o liqidity shold b visibl wh msd by i imt. Th lg th mihd ms, th mo illiqid is th bod... Liqidity Tsts Th xt st is to look t th t of is o liqidity. Fist I s th followig gssio to om th liqidity of bods with is to bods withot is:
3 Liqiditys i = 1 Isd i + k X i,k + s s + i, (.1) wh Liqiditys i, sts th vl of th liqidity ms fo bod i. 1 ovids th bisd stimt of th is t o th liqidity ms. X i,k is st of k otol vibls ildig iss fixd ts, dlyig tig, mtity, tim si iss d o ig ty. s sts stt fixd ts. Ithgssioovvyigtimfmstosifisimtsliqidity di tly ov tim. Is ovid di t liqidity ts ddig o th dlyig tig. By oly lookig t th vg liqidity t of is th tig-sifi liqidity ts might b ovlookd. To ot fo this I sbst th dt d th vios gssio fo h dlyig tig. Th U.S. oomy fd fiil isis dig th tim I lyz. To ot fo th shok of th oomi isis, whih I ssm hit th miilitis i th sm wy, I stimt di -i-di gssio to look t th ltiv hg i liqidity btw miil bods with is omd to miil bods withot is. di wold flt how is s t o liqidity hgd dig th isis. Th followig gssio ts th bov hyothsis. Liqiditys i = 1 Isd i + PEvt i Isd i + 3 PEvt i + k X i,k + i X i,k PEvt i + i, (.) wh Liqiditys i sts th liqidity ms fo miil bod i d X i,k is vto of k stdd otols s bfo. PEvt i is idito vibl of whth th liqidity ms fo bod i is msd bfo th miil bod iss fiil tobl. I s two di t vts to oxy fo hg i th iss bility to ovid is. Th fist vt is th tim t whih th iss stok i dod, ly. Th stok i imts ll ifomtio, so th dt t whih th stok i dos is wh th mkt kows th iss i distss. Th sod vt is wh th iss w dowgdd, i.., t whih oit th iss old o log ovid tig. I od to tst th hyothsis bot th litl t I s th followig gs-
4 sio s obstss hk to th vios tig-sifi gssios. Liqiditys i = 1 i + k X i,k + s s + i, (.3) wh Liqiditys i, sts th vl of th liqidity ms fo bod i. is 1 if th bod s tl tig is d othwis. 1 ovids th stimt of th liqidity t fo big. X i,k is st of k otol vibls ildig iss fixd ts, mtity, tim si iss d o ig ty. s sts stt fixd ts.. Rslts Th slts fo ll th liqidity mss osistt oss gssios. lthogh th wy i whih I itt th slts vis odig to th ms. Th slts sggst tht bods with is lss liqid th bods withot is bfo d ft th fiil isis. Th slts do ot vy with th hoi of th vt dt. Howv, wh th lysis is do o mothly bsis, mo hg i liqidity is vidt. Both th mihd ms d th tov ms sggst tht miil bods with is bm lss liqid ft th iss tig dowgd. Th bid-sk ms dos ot show y sigifit hg i liqidity ov th - tim iod. I fist lyz liqidity sig th mihd ms, whih, s xlid bov, is msofiimt.comisooftbls4.d4.3vlsthtdditio of iss otols to gssio.1 dos ot t th sigifi o ditio of th fidigs o dos otollig fo th dlyig tig s s i Tbl 4.31. Th o it o th isd dmmy is ositiv d sigifit i h s, imlyig tht is dss liqidity, bs lg mihd vl osods to lss liqid bod. This slt is somwht sisig giv my hyothsis tht is x-t wold is th liqidity of bods. Th fidig tht bods with is hv low liqidity th bods withot is ft th stok i do o tigs dowgd is i li with wht I xtd. Th slts sggst tht Hyothsis d 3 fls whil sotig Hyothsis 4. I ommt o Hyothsis 1 fth dow. Isthdi tmssofliqiditybsliqidityishdtodfid v hd to t. Th slts fom th mihd gssio go fth i showig th di lty of msig liqidity ot bs of th o it o th isd
41 dmmy, bt bs of th mb of obsvtios fo h gssio. Th mb of obsvtios sts th mb of bods tht tdd ov th tim fm. I od fo bod to b otd it ds to hv tdd th tims o giv dy. Th tbls show tht, io to th iss stok i do, th 4,55 tds bt, ost is stok i do, th 341,1 tds. Th i imt of isd bod my still b high th th i imt of isd bod, bt th mo bod tds ft th iss stok i do. simil tt holds fo th iss tig dowgd. Th mb of dys io to th iss tig dowgd is lg th th mb of dys ft th iss tig dowgd, so di i mb of td dys ot xli th di i mb of obsvtios d ost isis. ost of th otols i th gssio sigifit t th o t lvl, ths ild log mtity, siz dmmy, tim otstdig, log iss siz d log bod siz. Th mihd ms is isig, sggstig lss liqidity, i ll ths otols oss ll sml iods, xt fo log iss siz. Th ititio fo why ths otols hv lg mihd ms dds o th otol. Th siz dmmy is o o zo idito of whth th td is gt th 1, dolls, so th lg is th td, th lg is th i imt d h th lg is th mihd ms. Tim otstdig sts th lgth of tim si bod ws issd. Th slt tht liqidity is dsig i tim otstdig, is i li with th miil ft tht mo tds o t tim of iss. Th fidig tht th mihd ms is isig i mtity follows if th tyil hold of log mtity miil bods log tm ivstos who do ot sll bods oft. Th fidig tht th mihd ms is dsig i log iss siz sggsts tht miilitis who iss lg isss mo liqid i th mkt. To sw th fist hyothsis Tbl 4.3 bks dow th fidigs of Tbl 4. d 4.3 by is. Whil th slts fo th otols do ot hg, I fid tht th is dos ot mk di. I tht ll iss to d th liqidity of miil bods. Whil I wold xt th t of th is to b th sm bfo th isis, I wold hv xtd th o it o th ssd dmmy to b th sm ft th iss. Bs ssd Gty is th o is tht mitid + tig thoghot th isis. I tms of th mihd ms, Hyothsis 1 is fls i tht th dowgdig of iss dos ot sm to imt th hg i liqidity s it hs oss ll iss. Ixtlooktthdi btwthdi iisdbodsdisd bods bfo d ft th isis. Th o its o th ittio btw
4 isd dmmy d -vt dmmy sigifit, ddig o whth I s th dt of th iss stok i do o th dt of th iss dowgd s vt dt. This sggsts tht whil th lvl of liqidity i th mkt my hv hgd (s sggstd by th mb of obsvtios), th di i liqidity btw bods with is d bods withot is hs ot hgd s slt of th iss stok i do. Th is sigifit is i th di btw th liqidity of bods with is d bods withot is. This imlis tht th iss bility to imov miil bod tigs ovids th liqidity bfit fo miil bods. This slt sot Hyothsis 5. Usig th bid-sk ms d ig th sm gssios yild th sm slts both i tms of sigifi of o its d td i th mb of obsvtios. Th sigifit o it o th isd dmmy sggsts tht, o mtt th tim iod, isd bods hv high bid-sk sd, mig tht bods with is mo illiqid th bods withot is. Whil th mb of obsvtios is di t fom th mihd ms gssios, th tt mis tht, io to th iss stok i do, th lss obsvtios th ft, d th sm is t fo th iss tig dowgd. This is lso t fo th tov ms, whih sggsts tht th ws mo mkt tivity ost-isis th -isis. Ths slts sggst tht this old b d to fi sl ty imsts, whih is ot wht this is osidig wh sig th tm liqidity. lso this s fos is o th t of is o liqidity, whs th totl mb of obsvtios sks to th lvl of liqidity i th mkt. Th o its o th otol vibls fo th gssios sig th bid-sk ms ovid th sm slts s th otol vibl o its fo th mihd ms. Th is di btw lookig t th bid-sk sd vl bfo th iss stok i do d bfo th iss tig dowgd wh bkig dow th slts by is. Rslts osistt oss iss, whih lds sot of Hyothsis 1 big fls d ovids sot i fvo of Hyothsis. I fid tht th o its o th idividl is dmmis io to th iss stok i do ot sigifit. This old b fo two di t sos. Eith th is ot ogh dt to st ot th di t is ts o th is o di i liqidity s msd by bid-sk sd io to th iss stok i do. Giv th slt tht isd bods sigifitly lss liqid th isd bods ft th stok is do, sggsts tht big isd dsd miil bods lvl of liqidity. Si this slt is ot ikd wh sig th iss tig dowgd s th vt, it fth sggsts tht it is ot th tig tht ovids th liqidity
43 bt th th iss fiil hlth ovids liqidity. I fth tst fo th diff btw isd d isd bods bfo d ft th two di t vt dts by ig di -i-di gssio s bfo. Th fidigs show tht th di bfo th stok i do ws smll th th di ft th iss stok i do. This b s i Tbl 4.5 wh th o it o th ittio btw isd dmmy d stok dmmy is sigifit t th 1 t lvl. So isd bods bm lss liqid ltiv to isd bods s xtd i Hyothsis 1. Howv, this slt gos wy wh I otol fo dlyig tigs. lyzig liqidity by sig th tov ms slts i th sm olsios dw viosly with th mihd ms. Th gt is th tov vl, th mo liqid is th bod, so th fidig of gtiv o it o th isd dmmy i Tbls 4.53 d 4.54 b ittd s isd bods big lss liqid th isd bods ov h of th sifitios. Th o its fo th otols simil i itttio to th mihd ms xt fo log iss siz d log bod siz. Log iss siz hs gtiv o it, sggstig tht lg isss lss liqid bt lg bod sizs mo liqid. Lookig t th mot of obsvtios bfo d ft th di t vt dts vls tht th mo tds ft vt th bfo. Th tov ms qis lss tds bod to llt, th th two io mss, so giv th di i tds bfo d ft th fiil isis it boms l th is mh mo tdig tkig l ft th fiil isis. Th bkdow of th t of is o liqidity by is fo th tov ms vls tht isd bods lss liqid th isd bods. ll th iss both bfo d ft th isis ds th tov vl d h liqidity of miil bods. Th di -i-di gssio tlls stoy simil to th bid-sk ms. I fid tht th is sigifit di btw th di i isd d isd bod liqidity bfo d ft th vt dts. Th o it o th ittio btw isd dmmy d stok i do dmmy is gtiv d sigifit t th o t lvl. This sggsts tht th di btw isd d isd bods got lg ov tim, whih sots th imlitio tht iss fiil hlth ovids liqidity. Sttig with th mihd ms d lookig t th tig of, it s tht, ft th isis, isd bods w mo liqid th isd -td bods. Whil ot sigifit, th vl of th o it fo is bfo th stok i do sggsts tht isd bods w mo liqid th i-
44 sd bods. Howv, th oth mss sggst tht bods with is lss liqid th withot is. This old m tht wll-kow miility hs lg mkt l th is i mkt domitd by isd miil bods. Nxt lyzig bods with tig yilds th sm slts, tht bods with dlyig tig d o is mo liqid th -td bods with is. This td is th sm oss ll mss. Is might ot ovid liqidity bfit to omst fo th liqidity of miilbodthtdosothvis,bthslookigttltigs my sggst othwis. Fist, I look t miil bods with tl tig of, d I fid oss th mihd ms d tov ms th is sigifit vid tht tl -td bods mo liqid th isd -td bods. itstig slt i th dt oms fom lookig t tl -td miil bods. Th dt shows tht bods tht s is to gt tig mo liqid th tl -td bods. Whil th slt is ot sigifit fo th mihd ms o th tov ms, th o it hs th ight sig to idit is ovids liqidity. Th bid-sk ms dos ot sot th vios fidig. Th slts sggst tht is dos ot is liqidity ltiv to th liqidity of bods tht do ot hs is. s obstss hk fo hyothsis 5, gssio of liqidity vl o stts d otols is, d th slts sggst tht dig - -td miil bods w lss liqid th o- td miil bods. This is mo vid tht hyothsis 5 is fls. Th lst t of th lysis looks t th o it o th isd dmmy by moth ltiv to th o it o th isd dmmy fo ly. Ufottly Imotbltoodthsghsbytigois,dtotoofwobsvtios o tigs o is lvl. Th ghs show sigifit ltiv hg to ly ft. Th bid-sk ms stys ltivly ostt with o sigifit di fom its ly lvl, sggstig th is o hg i liqidity d to hgs i th iss qlity. Th gh of o its o th isd dmmy fo th mihd ms shows tht o its sigifitly low th th ly lvl til bot wh it s to b sigifitly lg goig fowd. ft otollig fo dlyig bod tigs, th vios slt gos wy. This sggsts tht is ws isig liqidity io to th iss tig dowgd bt ft th dowgd is ws dig th liqidity of th isd bods. Th gh fo th tov ms ovids sot fo hlf of th stoy told by th mihd ms gh. Th o it o th isd dmmy fo th tov ms is ot sigifitly di t fom ly, bt lookig t
45 th o it is sigifitly low th ly. This sggsts tht ft th dowgd of th iss, is ws dsig th liqidity of th miil bods whil bfo th dowgd th is o vid tht is ws isig liqidity s msd by th tov ms.. Colsio This lyzs th t of is o liqidity, sig th fiil isis s th tim iod ov whih to lyz th imt of miil bod is. I hoos two di t dts to oxy fo wh is might hv stod ovidig bfit.oisthdttwhihthiss stokidod,dthsod is th dt wh th iss w fist dowgdd. Th di t mss sd to oxy fo liqidity. Ths mss th mihd ms, whih ts th i imt st of liqidity, Roll s bid-sk sd, whih ts th s of td st of liqidity, d tov, whih mss th mot of tdig st of liqidity. Ihyothsizthtisimovsliqiditydthtthmovlofis gtivly imts th liqidity of isd bods. I fid miil bods with is hv low liqidity th miil bods withot is. This fidig holds both bfo d ft th fiil isis fo ll liqidity mss. Wh omig th liqidity of bods with is io to th isis to bods with is ft th isis, most mss fid tht th is sttistil di. Ths slts sggst tht iss do ot ovid liqidity bfit. Th bid-sk ms fids o vid tht, ltiv to isd bods, th liqidity of isd bods dss ft th iss stok i dos. Lookig fth t th liqidity of isd bods ltiv to isd bods by moth sggsts tht isd bods liqidity dss ft th iss tig dowgd. Both th mihd ms d tov ms dmostt sttistilly sigifit hg i th t of is o liqidity. Th liqidity t of is dss sttig i dig th dowgd of th iss. This bks dow th liqidity bfit of is by d tl tig, I fid tht t tig lvl is dos ot imov liqidity. s obstss hk, th liqidity vl ws gssd o dmmy d otols d th slt is tht dig th fiil isis o- td bods w mo liqid. Oth s show miil bod is lows th yilds t whih miil bods td. This sggsts tht th yild is lowd d to ositiv xtlity
ssoitd with liqidity. 4
4 Cht 3 iil Bod kt Idx Bsd o Rt Sls thodology 3.1 Itodtio Idis ly imott ol i vlig tds withi giv mkt, dtmiig th iy of mkt, d iig sitis. Piig sitis is mo imott ow th v, s th d fo istittios to s mk to mkt iig isd dstilly, s sos to th t isis. I mkts with high fqy tdig, mkig to mkt is lss itil, bt i mkts wh sitis td lss oft, dtmiig th mkt i is mo hllgig. Idis t s bhmk od whih iig is fosd, so mkig s idis t is xtmly imott. Esilly i mkts with low liqidity, wh it is hdst to t til idis. Th stok mkt, whih gbly is th most liqid mkt, hs mos idis tht tk its fom. O th oth hd th l stt mkt, whih is lss liqid, hs lss idis to tk its fom. Th biggst dv i l stt idis ws th S&P Cs Shill Idx, whih is t sls idx tht hs my flws bt is th most ommoly sd oxy fo th tds i th l stt mkt. Th miil bod mkt, th fos of th st, is simil to th l stt mkt i my fts, ildig low liqidity. Th miil bod mkt is omisd of ov 5, issig titis with ov 1millioisssotstdig. Thvgbodtdsbotitimsy.
4 I mkt wh sitis td so ifqtly it is di lt fo istittio to mk to mkt thi sitis. s gltos lyig lg ols it boms isigly imott fo istittios to s t mthod fo iig thi miil bods. Ctly th two mjo idis i th miil bod mkt omtd by S&P d th Bod By. Whil th my shotomigs with thos idis, mioisthtithoislltdbsdotltds. ThBod By ss stimts ovidd by miil bod tds, whil S&P tks dily iig dt fom its ow sitis vltio dtmt. Stdd d Poo s Sitis Evltio (SPSE) ovids dily stimts of iig dt fo bods tht hv ot tdd. I this I oos w idx tht ss tl td dt. By sig td dt I sggst tht th w idx ovids mo t stimt of tds i th miil bod mkt d llows fo mo t mk to mkt iig fo istittios holdig illiqid miil bods. Th mthodology sd to t this w idx oms fom th Cs Shill Rt Sls Idx. By djstig th t sls mthodology to wok with miil bod dt o t idx bsd o miil bod tstios s oosd to stimts of bod is, whih is th wy th t miil bod mkt idis lltd. oth bfit of th t sls mthodology is th bility to omt mltil idis to oxy fo tds i di t tig lsss, mtitis, o y oth goig of itst. I til, it lso llows o to t idis bsd o dl-to-dl iig, whih is thoght to b mo t ms of bod s i o o stom-to-dl tds, whih flt th mkt ow of th dl. Whil th is litt o di t idis d t sls idis i th l stt mkt, th is o litt o idis i th miil bod mkt. Th losst is His d Piwow (), who bifly mtio tig log tm d shot tm idis to hl thm llt tstio osts. Thy mtio tht thy s t sls mthodology, bt do ot ild y oth ifomtio o how thy lltig th idx vls. Th mid of this is ogizd s follows. Th xt stio ovids bkgod o xistig idis. Stio 3 dsibs my mthodology. Stio 4 dissss th dt d sts dsitiv sttistis. Stio 5 sts th stimtio slts. Stio shows hos btw my idx d th xistig miil idis. Stio olds.
4 3. Bkgod Th Bod By ods my miil bod idis i ttmt to ik tds i di t ts of th mkt. Th Bod By s idis look stly t gl obligtio (GO) bods, v bods, d th ovll mkt. Th S&P miil bod idis ov lg g of tgois th th Bod By idis, bt thy lltd i mh th sm wy. S&P tks vgs of iig stimts ovidd by its sitis vltio dtmt istd of skig bod tds. By sig svy ty stimts istd of tl td is ths idis ot ikig th dymis of th t mkt vl. 3..1 Bod By Idis Th Bod By s -Bod Idx ss gl obligtio bods tht mt i ys to ovid stimt of th td i th miil bod mkt. Bs of th smll sml siz y iss-sifi ts hv lg imt o th idx vl. Th Bod By lso hs 11-Bod Idx tht slts 11 bods fom th - Bod idx. Both idis mt to oxy fo th tds i th gl obligtio bod mkt. Th 11-Bod Idx hs high vg tig, + th th - Bod Idx with vg tig of. Th v idx td by th Bod By ss 5 v bods tht mt i 3 ys to stimt tds fo v bods. Th Bod By dsitio of thi idis is s follows: Th idxs st thotil yilds th th tl is o yild qottios. iil bod tds skd to stimt wht t-oo bod fo h iss i th idxs wold yild if th bod ws sold t vl. Th idxs siml vgs of th vg stimtd yild of th bod. 3.. S&P Idis S&P ovids l-bsd mthodology fo tig thi idx so tht th idx will b tst to ivstos. iil bods ligibl fo S&P idx if thy hld by mtl fd d SPSE ovids dily iig o th bod. lso th ligibl bod mst hv mot ov millio dolls d mo th 1 moth lft to mtity. S&P ovids fmily of idis ovig di t miil stos d bod htistis sh s mtity, is stts, stt, d bod ty (gl obligtio o v). Th S&P idis hv bs dt of Dmb 31, 1 with bs vl of 1. Whil th m i whih SPSE od miil bod is
5 is l th mthod sd to t th S&P idis is dtild thooghly. S&P idis mkt vl wightd idis. Domttio odd by S&P xlis th wy i whih thy llt th totl t. Th totl t is lltd by gggtig th itst t, fltig th t d to id d d itst, d i t, fltig th gis o losss d to hgs i SPSE s d-of-dy i. (SPi 1) 3..3 Rt Sls iil Bod kt Idx Th miil bod mkt is simil to th hosig mkt i my wys. Th miil bod mkt hs ov 4, tds dy lthogh bod o vg tds oly i tims y. This llls th l stt mkt, wh th thosds of hoss big tdd dily, bt h idividl hos tds ifqtly. Th miil mkt hs ov 5, isss with ov o millio sitis otstdig. Similly, th hosig mkt hs ov 1 millio isss with ov 1 millio hoss. Th bov htistis of ths mkts ll ld to th id tht both mkts illiqid with oq ifomtio d to lg mb of isss. Bsids th mkts simility, th ssts big tdd hv oth imott tits i ommo. iil bods, lik hoss, tyilly hld fo log dtios d hv htistis tht do ot hg ov tim. Whil hos htistis hg ov tim (i.. modlig) th lty of hoss tht mi th sm. Th o bod htisti tht dos hg ov tim is mtity. Th lll i th l stt mkt is hoss g ov tim. Both mkts fid it di lt to i ssts tht do ot td oft. Whil th l stt mkt hs ddssd ths isss thogh idis sh s S&P Cs Shill idx, th miil bod mkt hs yt to ddss this oblm, whih will b xbtd d to w gltios. Th w gltios qi istittios to s mk to mkt iig istd of sig tigs i lltig thi itl qimts fo miil bods. Th fw oblms with th t sls idx sd i th l stt mkt. Th ititio bhid t sls mthodology is tht wh sst tds mltil tims d hs ot mtilly hgd ov tht tim, i movmts ttibtbl oly to mkt fos, d ths idito of how th mkt s iig hs hgd. I th l stt mkt di ltis i dtmiig t is is wh th hos tht is big tdd hs b modld bs th sst hs mtilly hgd, thfo th hg i i is ot simly d to mkt dymis. Somtims th tstios ot ms lgth tstios, whih ms th slls
51 d bys kow h oth, d th i of th tstio is ot th mkt vl of th hos. To ddss ths isss Cs d Shill mov tstios tht mt th vios oditios. Th miil bod mkt dos ot hv th sm di ltis s th l stt mkt bt hs oblms of its ow. Th miil bods thmslvs do ot hg ov tim. Th two htistis of th bod tht hg ov tim, d o tht bsoltly hgs ov tim. Th dlyig dit qlity d miil oditios hg ov tim, whil th mtity of th bod hgs ov tim. I th l stt mkt hos g hgs ov tim d th Cs Shill idx igos this hllg. To ddss th mtity oblms I do ot llow bods with lss th o y to mtity to b i th idx, d tds withi th sm bod d to hv tk l withi fiv ys fom h oth. Whil ths stitios do ot flly solv th mtity iss, th is ossibility th idx will flt som hg d to hgs i bod mtity. Th dlyig dit qlity of th miility hg ov tim, whih will t th bod i v thogh th bod fts hv ot hgd. Th dg of is i bod tstios d to dlyig miil qlity hg will dtmi th xtt of th bis i th idx, bs o shotfll of t sls idis is oly thos ssts tht tst i th idx. If th di ig sos, sh s bod qlity, fo why ti bods td it will ot b fltiv of th ti mkt. Howv, giv tht th issig titis itis d stts, oditios do ot hg ly s fst s fo idividls, d lookig t tds tht hd withi fiv ys of h oth lso hls to solv this iss. Two mo tits hg ov tim, whih ot bod htistis, bt still t bod iig. O htisti is th itst t. Whil th miil bod idx flts fixd t bods, whih ms thi oo ymts will ot hg, th itst t i th mkt is lwys hgig. I ty to otol fo this by sig miil bod yilds. Th sod htisti is tx ts. O of th bfits of miil bods is thi tx xmtio, so it is imott to oti tht tx lw hgs will hg th wy miil bods id. O lst htisti tht dos ot hg ov tim is th stt i whih th bod is issd. Th bod s stt of iss will t iig if th stt hgs its oliis tht t its miil bods. Whil th stt t is ikd i goghy-sifi t sls idis, it will ot b omstd fo i th ovll miil bod mkt idx. ft otollig fo htistis tht hg ov tim th t sls idx is fltiv of oly th movmt d to hgs i mkt
5 iig. 3..4 Di s Btw Idis Th mi di btw th t sls mthodology d th t idis fo th miil bod mkt is th t sls idx is bsd o tstios, whil th oth idis bsd o lysts stimt of is. Bs th t sls idx ss tstios, it will ovid mo t stimt of th mkt i of miil bod. Th two mi idis I om with th t sls idx th Bod By idis d th S&P miil bod idis. Th Bod By s t most 4 bods d t lst 11 bods to t its di t idis. Th Bod By idis hv my shotomigs, whih ild hgig omositio d limitd sml siz whih my o my ot b sttiv of th miil bod mkt. Th s of sh limitd sml llows idiosyti shoks of iss to hv lg t o th idx vl. It is hd to itt wht hg i th idx vl ms bs th hg old b omig fom th volvig omositio of th idx o this old b hg i mtity o dlyig dit qlity i th s of bods tht sty i th sml. Thy lso do ot mk ttmt to otol fo th hgig itst t viomt. Th S&P fmily of idis ioots ll bods with vl of gt th milliodollsotstdigdlogthoylfttomtity. S&Pslts bods fo ilsio i th idis i m tht ims to t sttiv sml. Lik th Bod By idis, S&P idis s vg of stimts to llt thi idx. Usig vg givs sshot of th mkt t giv tim, bt dos ot llow ivstos to s how th mkt is hgig ov tim, s it fils to ot fo hgs i mtity d dlyig bod qlity tig is. If th bod i stimts w t th th d fo idx wold b fosd o mkt tds d ot o iig. If th bod is ot t th th S&P idx is it s wll. 3..5 Idx Possibilitis I st mthodology tht hs ot b sd i th miil bod mkt bfo to t mo miil bod mkt idx. bfit of this mthodology is th xtt to whih it ovid idis o st htistis of miil bods. It b sd to t idis of tgois ildig idx fo gl obligtio bods, oth o fo v bods, idis bsd o tig qlity,
53 is stts, stt of iss, o y ombitio of th vios htistis. Th t sls idx is limitd oly by th ft tht th ds to b ogh t sls i th sto whih th idx is tgtig. Si th miil bod mkt is ot highly liqid, this b o. 3.3 Dt I mg th di t dt sos to t omhsiv miil bod dtbs. iil Sitis Rlmkig Bod (SRB) ovids th miil bod tstiol dt fo stom to dl tds, dl to dl tds, d dl to stom tds fo th fo y iod ovig -. Stdd d Poos (S&P) ovids th tigs d bod htisti dt. dditiol htisti dt ws obtid fom Bloombg. Th SRB tstiol dt otis ov millio tstios o ov, idividl log-tm miil bods. I mth th tstios with dt fom S&P. Th S&P dt otis stdd tigs, stdd tig hgs, S&P Udlyig Rtig (SPUR) if vilbl, SPUR hgs, d bod htistis fom 1 to. SPUR sts th tig of bod withot dit hmt. If dit hmt dos ot xist fo th bod, th th SPUR tig will ot xist. Howv, bods withot SPUR my hv dit hmt. Fo h tstio I mth th bods most t tig io to th tstio dt. So h bod hs th most to dt dlyig tig t th tim of th tstio. I slmt h tstio with Bloombg dt ildig llbility, mtity, o ig ty, oo, iss siz, bod siz, d stt i od to otol fo bod htistis. ll dt sts mthd by si. I mov tstios tht gtiv o s thy o i th dt. I m lft with ov 13 millio tstios. I od to llt idx fo til mkt sgmt I fth bkdow th sml odig to wht th idx ovs. gig th th sos yilds dt st tht ovs ll dily miil bod sody tstios fom to. I ovid th omositio of miil bods tht omomis h idx. Th m oo by idx is btw 4 d 4. t, whil th vg tim to mtity is od 1 ys xt i th s of th mtity sifi idis. Th bod siz sts th mot otstdig of th bod wh it ws issd d vgs od fo millio dolls bt is lg fo th log tm mtity idis. Th mb of di t bods i giv idx vis ywh fom 5, to 33,13. To b ildd i th idx bod ds
54 to hv tdd o two di t dys. Lookig t bkdow of th goghi omositio by idx givs od 1 t of bods omig fom Clifoi, t fom Nw Yok, 13 t fom Txs d t fom oth stts. Fo th goghi sifi idis ll bods om fom th sifi stt of th idx. bkdowofomositiobybodty(i.globligtioov)shows bot 45 t gl obligtio bods d 55 t v bods xt i th 3 y mtity idx wh gl obligtio oly 1.3 t. Ifthlooktthtigsomositioofthidisdfidod5t of bods, 3 t, 15 t d 1 t BBB+. Exlsios ly fo th tig sifi idis. Fth smmy sttistis b fod i tbls 4.5, 4., 4., d 4. i th dix. 3.4 thodology Th sttistil mthods otid i this stio lso b fod i Clho (1). I will ovid thi mthod d wht hgs hv b md. I stt with bod lvl tstio dt otd t th tim of th td. Th t sls idx will b lltd t lg tim itvl th it dy, so I llt o bod i dy of td whih is th vg of ll bod sifi tstios o giv dy. I th mov ll bods tht hv ot tdd withi fiv ys of thi lst td. Fo my oh I hv ssmd bod yilds, Y it,bxssditmsof mkt yild idx t,gssidomwlkh it,dwhitoisn it,shtht Y it = t + H it + N it (3.1) Th th totl hg i yild fo bod i tstig i tim iods s d t is giv by V t = Y it Y is = t s + H it H is + N it N is (3.) Th mkt idx t sts th vg bhvio of miil bod vls i givmkt,dmisstitd. ThGssidomwlkH it dsibs how vitio i idividl iss gowth ts od th t of hg i th mkt idx s miil bod yilds to diss ov tim. Th whit ois tm N it sts oss-stiol dissio i miil bod vls isig fom ly
55 idiosyti di s i how idividl miil bods vld t y giv oit i tim. Th di i yilds mo glly b xssd s V it = TX Y i D i (3.3) = Wh D i is dmmy vibl tht qls 1 if th yild of bod i ws obsvd fo sod tim t tim, -1ifthyildofbodiwsobsvdfothfisttim t tim, dzoothwis.sbstittigqtio 3.1foY it yilds: V it = V it = TX ( + H i + N i )D i (3.4) = TX = D i + i (3.5) Th t mts fo th mkt idx th stimtd sig odiy lst sqs (OLS) gssio. Th slts of th OLS gssio of qtio 3.4 o th miil bod tstios sd to ostt th sqd dvitios of obsvd miil bod yilds od th stimtd miil bod mkt idx. Th ditd bod yild i iod t is th oigil yild ls xtd mkt itio d th sqd dvitios of obsvd miil bod yilds fom th mkt idx giv by: d i =[Y it ˆ Yit ] (3.) =[Y it Y is ˆt + ˆs] (3.) Usig th ssmtio bhid th stohsti oss ssmd fo bod yilds, whih dtild i Clho (1) d ssmig N it is ostt it b show tht this xssio hs xttio giv by: E[d i ]=(t s)+b(t s) (3.) Nxt I stimt sod-stg gssio of d i o (t-s) d (t s) to ovid osistt stimts of d B. I th s th ditd vls of d i to div th wights dd to obti Glizd Lst Sqs (GLS) stimts of th t,mtsi
5 th followig gssio: V it q ˆd i = TX = D q i + i q ˆd i ˆd i (3.) Eqtio 3. b stimtd fo sltd bod tys, tigs, goghi s, is stts o y oth tgoy to div miil mkt idis. Idx mbs fo iods t=1,,3,...,t giv by: I t =1 ˆt (3.1) wh ˆt, t=1,,3,...,t th GLS mt stimts. ssmig s I did bfo tht N it is ostt ostis th stimtd o vi ssoitd with th distibtio of idividl bod yild itio ts to b ositiv. This is osistt with th itttio of hgs i idividl bod vls s di sio oss d th ft tht th tl hg i bod vls mst b zo til som tim hs lsd. 3.5 Disssio I od to lyz th t sls miil bod idx I fist t 15 di t idis fo th miil bod mkt. I t idx sig ll miil bod tstios with ov y lft til mtity. Bods with y o lss til mtity lft ot bs tht is th ovtio i th miil bod mkt. lso bods with lss th y lft hv th oblm of big so los to mtity tht th will ot b y ftos to iig th bod xt fo th vl ivd o mtity si th is o tim fo y isks to ly fto. I lso t 14 sb-idis fo di t stios of th miil bod mkt. O t sb-idx fo y htistis thy itstd i. Howv, I t idis fo th sb divisios of th miil mkt tht ivstos ommoly itstd i whih ilds; idis fo di t tig gos (,,, d BBB+), mtity gos (5, 1,, d 3 ys), by stt fo Clifoi d Nw Yok (th two stts with th most tstios), isd, isd, gl obligtio, d v. S&P hv idis fo ths gos s wll, whih llows fo omiso of idis. Th t sls tig idis s th S&P stdd tig of th bod (th bod
5 tig ildig y dit hmt o is) d y bod with stdd tig of -, o + is ildd i th idx, th sm big t of th idx.thbbb+idxisomisdsollyofbbb+tdbods. Th mtity go idis s bods with th osodig mot of tim to mtity. Fo Bods tht do ot hv xtly 5, 1, o 3 ys til mtity I od to th losst tgoy so to ys flls i th 5 y idx, to 14 fll i th 1 y idx, 15 to 4 flls i th y idx, d y mtity bov 4 is ildd i th 3 y idx. This vis fom th S&P idis bsd o mtity wh th log tm idx is y bod with to 15 y mtity. Slittig th mtity s I did md th most ss to m i thikig bot wht ivstos might bot bt th idis old sily b hgd to go di t ys. Th fist t of th slts looks t th st of 15 idis I td d oms thm to h oth. I lyz th bfit of hvig mltil idis to look t tds i th miil bod mkt. I fid th oltios btw idis to b high sggstig ot mh is gid fom td stdoit by hvig idis fo di t mkt sgmts. Th xt t of th lysis oms th t sls idis with th S&P idis, th Bod By idis d oody s Idis. Th idis b td fo y fqy ov whih ogh tds xist. Fo th os of this stdy I th idis o mothly bsis to btt om thm with S&P idis tht td o mothly bsis. lso sig mothly bsis ovids ogh tstios to omt ll th idis. bov I disss th oblm of mtity dsig ov tim d sig t sls idx. Whil this is oblm tht b dd by ostiig tstios to 5 y widow th is oth iss of bods with di ig mtitis. Th iss is ltd to th yild v d th ft tht bods of di ig mtitis will tlly hv di t yilds, this b s i th yild v, whih is tyilly ot flt. With t sls idx th sm bod is big lookd t, howv, wh omtig th idx ll bods tk ito ot so if th hs b shift i th yild v bods will hg odig to how th yild v hs hgd. If th idx dos ot djst fo this hg th td i th miil mkt will b bisd bs it will b iootig th hg d to th yild v shift. I m ot bl to otol fo th yild v shift. Iitilly, I tid sig th miil bod yild sd, whih is th di i yild btw miil bod d tsy bod of qivlt mtity. Howv, wh tsy ts shift fst th miil bod ts lg bis is td. Th th mi mthods o old s to llt th t sls idx by sig th log is of th tstios, yilds of th tstio o th yild sd I disssd bov. I
5 llt th idx fo ll th wys bt st th slts fo bod yild fo th sos giv bov. Ov th fo y s of dt th slts do ot vy mh ddig o th mti sd, xt i th xtms. Si o of th mi ids bhid th idx is fo tool tht b sd to hl i miil bod iig I look t tstios tht fom ivstos to dls. Th idx b omtd sig dl-to-dl is o tstios fom dls to ivstos. I osidig iig I hos to t idx od th i ivsto wold gt fo sllig th sst. 3. Rslts Th ghs i th dix tk th miil bod t sls idis ov th to tim iod. I lyz how th idis lt to l vts, I will th om th st idis to h oth d filly look t how th t sls idis om with th idis ldy i ti. Th t sls idis tk th miil bod mkt thogh o of th oomis biggst ssios. lthogh th w ot my miil dflts th ws lot of tity i th miil bod mkt, whih shows i th ghs. Lookig t th ovll mkt idx, miil bod yilds vid fom y to ly isig by s mh s 4 t. I ly th mkt is w of th dliig fiil hlth of th miil bod iss lthogh it is ot til tht th iss dowgdd fo th fist tim. I Novmb, BC is dowgdd to tig. Th idx flts ths mkt vts i tht, ly is high oit bfo yilds do til y. Th idx tks mkt tds bs i yilds is littl bit t th tity sodig th iss bt ks i Novmb o th mkt kows wht is hig with th miil bod iss. Th i th idx hgs ditio stly doig to lvls t of lvls. This oiids with th flight to qlity disssd i th fiil iss litt. Wh ivstos w lookig fo sf ssts d biddig i d yilds dow. Th miil mkt is likd to th tsy t d i th fd sttd qtittiv sig d dod th mkt itst t. Ovll th mkt idx sms to tk th miil bod mkt, it shows tht fom bs y of yilds dobld dig th isis, bt ow f blow wh thy w i. Comig th idis td bsd o ti htistis sts vlidtio of how th mkt vls ths htistis. Th highst tig tgois,
5 d both hv low k vl d low bottom vl th th low tig tgois. Whil th two idis tk fily wll with th ovll mkt idx, dig th ly to y tim iod bod yilds did ot hg s mh fo, d miil bods s thy did fo th mkt s whol. This sms sobl giv ths th sfst dit qlity bods, whih lso xlis why thy ds to lvls blow th ovll mkt by Dmb. O wold xt ths idis to hv smll vi th th ovll mkt, whih b ofimd by lookig t tbl 4.. Th low two tig gos, d BBB+ tll di t stoy fom th vios two tig gos. Th idis fo d BBB+ hv mh lg vi d hv th highst idx vl of y of th st idis. Whil th ovll tt of ths idis osistt with th st of th miil bod mkt th ks dig gst to y show bod yilds mo th til bt by th d of bod yilds od y lvls istd of t w low lik oth tig idis. I omig th gl obligtio (GO) idx to th v idx, I wold x-t xt th GO idx to b lss voltil, hv low k vl d low idx vl towds th d of th sml th th v idx. Th dt shows tht whil th vitio btw th GO d Rv idx ot tht di t th k d toghs fo th gl obligtio idx low th fo th v idx. Th gl obligtio idx hs st dowwd td th th v bod idx. s I mtiod viosly, dig this tim th miil bod iss xid fiil shok d to thi bsiss i th dit dflt sw (CDS) mkt. Evtlly ldig to th iss big dowgdd d fo som bkty. It is itstig to look t th hg i yilds ov - fo isd miil bods bs of th iss fiil tobl. Th isd idx follows th sm td s th st of th idis i tms of th timig d ditio of yild hgs. Wh th isd idx is omd with th isd idx st dowwd td i th idx vl ov th ti tim fm is vidt i th isd idx. lso th isd idx dos 4 t fom y lvls bfo lg is i yilds dig gst, whih oly is yilds 5 t bov th y bs moth. Th dtio of th is i bod yilds is lso shot fo th isd bods s bod yilds stt to ds th moth ft Novmb. Towds th d of th sml th isd bod yilds low th th isd bod yilds ltiv to y bs lvl. Whil o w ifomtio m to light bot isd miil bods, th tity of th miil bod is-
s td th yilds fo isd bods d this di is vidt i lookig t th two ghs. Comig th isd idx with th v idx sggsts tht most of th v bods tht tdd isd bods s th two idis ly idtil. Th isd bods std i th v idx, i th ft, tht th k d togh of th v bod idx low th th isd bod idx lthogh this di is slight t t. Th goghi-sifi idis flt how di t dit qlitis mog stts. Nw Yok d Clifoi idis show th sm ovll tt s th miil mkt idx. I omig th two stt idis Nw Yok is th sf stt s it hs slightly low voltility d hs lss of is i bod yilds dig th gst tim iod. Towds th d of th sml bod yilds o Nw Yok bods dod fst d low th bod yilds o Clifoi bods. Th lst idis I lyz bsd o mtity. I xmi fo di t gos fom shot mtity od fiv ys to log mtity od 3 ys. Th shot mtity idx vis fom th st of th idis. Whil th timig of yild hgs oiids with ll th oth idis th lvl of thos hgs is di t. Dig gst yilds oly is t bov y lvls, howv, yilds still shot o th od of mgitd of t. This is slt of sh ds i yilds followig. Th fiv y idx dos f blow th oth mtity idis by th d of Dmb to lvl oximtly t of y lvls. Whil th t jm i yilds fo th fiv y mtity idx is i li with oth idis wh omd to th oth mtity idis, it is smll i omiso. Th jms g fom 13 t to lmost 3 t fo log mtity idis. Th oth mtity idis follow simil tt to tht of th mkt, howv, th twty y d thity y mtity idis hv idx vl t th d of th Dmb tht is o with thi y lvl. Th t y idx hs th mo ommo do i bod yilds followig y d is wll blow th idx bs vl by y. Th slts so f hv b xtd, whih is wht is wtd fom idx. idx shold t s ms of th mkt dymis. ommo td thogh ll th st idis is thy hv th sm ovll tt. I xt look t tbl 4. to lyz th d fo st idis d jdg whth o ot thy ddt. Th fist olm i tbl 4. shows th high oltio o its btw th mkt wid miil bod t sls idx d th t sls idis fo di t htistis. Ov hlf of th idis hv gt th. oltio o it, sggstig tht th mkt idx is sttiv of th sb idis -
1 td, if o is oly itstd i tds. It is imott to mmb tht this is lso itstd i iig, whih mk hvig di t idis mo vlbl. s I mtiod bfo th isd idx d th v idx vy simil, lookig t how oltd thy shows oltio o it of 1 wh odd to diml ls. lso oti tht th 1-y mtity idx is highly oltd 1 d. with th isd idx d v idx. Th high oltio btw th th idis mks th d fo ll of thm ssy. Th high dg of oltio old shift if o looks ov di t tim fms d fo tht so it might b good to hv thm. Bt it is t tht dig this isis th v bods tht w tdig w isd bods d th bods i th 1 y idx w isd s wll. Bt ot ll th idis highly oltd, if w look t th idis fo th lowst tig gos, Clifoi, o mtity gos xldig th 1 y mtity th w oti di t tds. O itstig t is tht th 3 y mtity idx hs. d. oltio o it with th BBB+ idx d idx, stivly. Bt th 3 y mtity idx hs.1 oltio o it with d, whih sggsts tht dig - th oly log tm bods tht w tdig w th low qlity bods. Th oltio o its fth highlight th di btw C d NY idis d th d fo stt idis. Clifoi is highly oltd with th isd idx bt ot with th isd whil Nw Yok is highly oltd with th isd idx d ot with th isd idx. lyzig th di btw th t sls idis vls tht fo til os o old limit th mb of st idis ft tig mkt wid idx. Nxt, I lyz how th t sls idx lts to th xistig miil bod idis. I obti dt fom Bloombg o S&P, oodys d Th Bod By idis. I look fist t th S&P idis bs S&P ovids st idis to look t di t miil htistis. O oit to mtio is tht lik my idis th st idis of S&P lso highly oltd mogst thmslvs. Th so th oltios btw S&P idis d th t sls idis gtiv is bs th t sls idis s bod yilds, whil S&P ss bod is d bod is gtivly oltd with yilds, so gtiv oltio is xtd. Wht is ot xtd is th high dg of oltio tht S&P idis hv with th t sls idis. Th oltio o its sm to vy od. to. fo most omisos. This sggsts tht whil th idis ot xtly th sm thy both msig th miil bod mkt d ot st ts. Th xt qstio, whih is ot swd i this, wold b whih is th mo t
idx to s i iig. I wold g th t sls idx is mo t d to th s of tl tstiol dt. I omig th t sls idis to th S&P idis o s tht th idis do ot mth bsd o th idx ty. So fo th S&P mkt idx th highst oltio is with th o GO t sls idx istd of big with th t sls mkt wid idx. This mismth is th gl tt, howv, th t sls 5 y mtity idx d th S&P shot tm idx hv -. oltio o it d S&P k is most highly oltd with th t sls BBB+ idx with oltio o it of -.. O ossibl so fo why th idis mismth is th omositios d dfiitios of th idis ot xtly th sm. Whil S&P hs ligibility qimts bsd o bod siz th t sls idis do ot hv sh qimts. Th Bod by idis sm to hv othig i ommo with th t sls idis. Th highst oltio of ll th idis with Clifoi, BBB+ d th log mtity t sls idis. Th oltios b s i tbl 4.. This sggsts tht th Bod By is hoosig domitly Clifoi bods. Th Bod By sifilly oits ot tht thy sig bods with y mtity so th d 3 y mtity t sls idis shold b mo highly oltd. It is zzlig tht th BBB+ idis wold b mo highly oltd th th ts sls idx with th bod by idis, si thy sosd to b o vg td. oody s hs miil bod idis of thi ow tht tk miil bods of ti tig d mtity. Th di t moodys idis tk y bods tht td,, d, stivly. Thy lso tk bods with 1 y mtity d o tig, stivly. O oody s idx tks y bods tht w omtitiv o s. omtitiv o is wh th miility soliits bid fom dwits d hooss th lowst bid. Th lttiv is gotitd dwitig wh th miility hooss dwit to wok with losly to big th bods to mkt. ost of th t sls idis ot highly oltd with oodys idis giv by th ft tht th oltio o its tyilly blow.5. Th som idis tht hv oltio o it bov.. Wh omig th mkt wid, th GO, d t sls idis with th 1 y d 1 y oody s idis th oltio o its bov.. lso, th y d 3 y mtity t sls idis highly oltd with th th y d y oody s idis. This ligs with th ft tht th vg mtity i th kt wid,, d GO idis is od 1 ys whil th vg
3 mtity o th -y d 3 y t sls idis is od d 3 ys. This highlights th ft tht my idis ot dd if tyig to fid td i th miil bod mkt. 3. Colsio I olsio this hs oosd lyig t sls mthodology to th miil bod mkt i od to t miil bod idx fo tkig th fom of th mkt d to ssist i iig. Th t idis s stimtd is o svy is whil th t sls mthodology is bsd o of tl tstios. I t 15 distit t sls idis d om thm to thmslvs d to th xistig miil bod idis. I fid tht th ts sls idis highly oltd with h oth sggstig th d fo fw idis to ik tds i th miil mkt, bt slight di s, sh tht if th idx is sd fo iig it b bfiil to hv distit idis. Th t idis hv oltio o it with th t sls idis o th od of mgitd of.. This sggst tht th idis idd tig th sm mkt d tht hs th di i oltio b xlid by th tl tstios sd i omtig th t sls idis vss th stimtd is i th xistig idis. I g tht th t sls idis ovid imovmt ov th xistig idis d mo til s thy b omtd fom tst td is istd of fom svys o oity stimtd is.
4 Biblioghy,1,S&PiilBodIdxthodology,S&PthodologyRot. gl, ms., 14, Th miil bod is iddl, Th Fii: CT 1, 4 3. Bo, k, P, d ig Wg, 11, Th illiqidity of oot bods, Th ol of Fi, 11 4. Bkt, Gt, Cmbll R. Hvy, d Chisti Ldbld,, Liqidity d xtd ts: Lssos fom mgig mkts, Rviw of Fiil Stdis, 13 131. Bswll, Rold C., E. o Nosi, d k. Bowig, 1, Th t of ivt miil bod is o th ost to th iss, Fiil Rviw 1, 4 51. Clho, Chls., 1, OFHEO Hos Pi Idxs: HPI Thil Dsitio,. Ch, Log, Dvid. Lsmod, d so Wi,, Coot yild sds d bod liqidity, Th ol of Fi, 11 14. Col, Chls W., d Dis T. O, 11, Th itst ost t of ivt miil bod is, Th ol of Risk d Is 4,. 435 44. Cowi, Sh., d Pl H. Shltz, 11, Siml Wy to Estimt Bid-sk Sds fom Dily High d Low Pis, ol of Fi, Fothomig. Diso, Dwight V., 1, Bod is tiliztio d yild sds i th miil bod mkt, Pbli Fi Rviw, 34 411., 3, miil xmitio of th dtmits of isd miil bod isss, Pbli Bdgtig & Fi 3, 114.
5 Dowig, Chis, d Fk Zhg, 4, Tdig tivity d i voltility i th miil bod mkt, Th ol of Fi 5, 31. Gbil Ptk, Stv hy, d dm Wtso, 11, U.s. bli fi dflts d tig tsitio dt: 1 dt, Disssio, Stdd & Poo s. Go, gl K., Kvi Shs, d Chls Tzik, 4, Fiil dislos d bod is, ol of Lw d Eoomis 4,. 5 3. Goto, Gy,, Sld i th f by th ivisibl hd: Bkig d th i of, Disssio,. Goyko, Rsl Y., Cig W. Hold, d Chls. Tzik,, Do liqidity mss ms liqidity?, ol of Fiil Eoomis, 153 11. G, Rihd C., Bto Hollifild, d Nom Shho,, Fiil itmditio d th osts of tdig i oq mkt, Rviw of Fiil Stdis, 5 314. H, Sog, d Ho Zho,, E ts of Liqidity o th Nodflt Comot of Coot Yild Sds: Evid fom Itdy Tstios Dt, SSRN Liby. His, Lw E., d ihl S. Piwow,, Sody tdig osts i th miil bod mkt, Th ol of Fi 1, 131 13. Hml, Gog H., 11, Th ostw qlity of stt d lol dbt, NBER Volm is ot of it bt PDF is vilbl. Hg, if, d ig Wg,, Liqidity d mkt shs, Rviw of Fiil Stdis, 43. Kidwll, Dvid S., Ei H. Sos, d oh. Whowiz, 1, Estimtig th siglig bfits of dbt is: Th s of miil bods, ol of Fiil d Qtittiv lysis, 313. Lsmod, D, P Ogd, d C Tzik, 1, w stimt of tstio osts, Rviw of Fiil Stdis 1, 1113 1141. Li, Go, 11, iil Bod Is Pmim, Cdit Rtig d Udlyig Cdit Risk, SSRN Liby.
Logst, Fis., Sjy ithl, d Ei Nis, 5, Coot yild sds: Dflt isk o liqidity? w vid fom th dit dflt sw mkt, Th ol of Fi, 13 53. oi, lbto, ssimo ss, d yko Ysd, 1, Th ol of istittiol ivstos i ogtig th isis of -, ol of Fiil Eoomis, Fothomig. tll, Chisti R., d Robt S. Kvhk, 1, Bod is d liqidity ovisio: Imts i th miil vibl t dbt mkt, -, Pbli Fi Rviw 3, 3 41. to, Robt C, 1, siml modl of itl mkt qilibim with iomlt ifomtio, ol of Fi 4, 43 51. Nd, Vikm, d Rjd Sigh, 4, Bod is: Wht is sil bot mis?, Th ol of Fi 5, 53. Nis, Ei,, Th ssys i fiil oomis, Ph.D. thsis UCL. Novy-x, Robt, d osh D. Rh, 11, Fisl Imbls d Boowig Costs: Evid fom Stt Ivstmt Losss, SSRN Liby. Psto, Lbos, d Robt F Stmbgh, 3, Liqidity isk d xtd stok ts, ol of Politil Eoomy 111, 4 5. Piisky, Chisto., d Qighi Wg, 11, kt sgmttio d th ost of itl i domsti mkt: Evid fom miil bods, Fiil gmt 4, 455 41. Potb, ms., d Kim Rb, 1, Stt fisl istittios d th.s. miil bod mkt, NBER. Qigly, oh., d Dil L. Rbifld, 11, Pivt gts fo miil bods: Evid fom th ftmkt, Ntiol Tx ol 44, 3. Shi, Siddhth B., Rdolh B. Coh, d Dil B. Bgstss, 1, Fiil gtos d th - dit isis, Wokig P.,1b,Skiithgm:Thfomofisddisdmiil dbt, SSRN Liby.
Tt, if, Kth Emy, d V Pgh, 1, U.s. miil bod dflts d ovis, 1-, Disssio, oody s. Thko, j V., 1, xlotio of omtitiv siglig qilibi with thid ty ifomtio odtio: Th s of dbt is, Th ol of Fi 3,. 1 3. Vyos, Dimiti, d T Wg,, Sh d dogos ottio of liqidity i sst mkts, ol of Eoomi Thoy 13, 14. Wg, bo, Chhi W, d Fk X. Zhg,, Liqidity, dflt, txs, d yilds o miil bods, ol of Bkig d Fi 3, 1133 114. Wilko, S, 1, Th ssys i miil fi, Ph.D. thsis UC Bkly. Ykov, d mihd,, Illiqidity d stok ts: oss-stio d tim-sis ts, ol of Fiil kts 5, 31 5.
Cht 4 dix 4.1 Fist ht
Tbl 4.1: List of Co its VRIBLE + ll dmmy Ty dmmy O ig dmmy Cllbl dmmy Log mtity Log isssiz Log bodsiz Log bodsizsq Log isssizsq Log o Logosq Totl wgs Log Ot Dbt Dsitio Dmmy vibl = 1 fo S&P tig of Dmmy vibl = 1 fo S&P tig of + Dmmy vibl =1 if th bod is issd by homogos miility Dmmy vibl =1 if th bod is Gl Obligtio Dmmy vibl =1 if th bod ws issd sig Comtitiv o ig Dmmy vibl =1 if th bod is llbl Ntl log of th mtity of th bod Ntl log of th doll mot of th ti dbt iss Ntl log of th doll mot of th bod iss Ntl log of th doll mot of th bod iss sqd Ntl log of th doll mot of th ti dbt iss sqd Ntl log of th oltio of th miility Ntl log of th oltio of th miility sqd Ntl log of th totl wgs d slis id by th miility th y io to bod iss Ntl log of th otstdig dbt of th miility th y io to bod iss
Tbl 4.: Dsitiv Sttistis Vibl Cot Sd tity 135, 5.4 4. P Td (i dolls) 135,,1 1,3,1 Sd 135, -.3. Comtitiv O ig 135,.4.4 Iss siz (i millios of dolls) 135, 4 14 Bod siz (i millios of dolls) 134,5 1 11 Tim otstdig 135, 3.. Isd 135,.5.4 Homogos iility 135,.3.4 Tbl 4.3: Dsitio of iilitis by ixd d Homogos Isss ll ixd Oly Isd Oly Uisd Bods,43 4,5,35 1,551 iilitis 31 4 131 Tstios 135,,3 3,44 1, Bods miility 1.4 1.4.3 11. Tstio bod 14.4 1.4 1.4 1. Tstio mi 1.1 33.3.1 145.
1 Tbl 4.4: vg di btw isd vss isd miil bods with otols d tim fixd ts This tbl shows slts fom th odiy lst sqs gssio of th sd btw miil bod yilds d tsy o isd dmmy, otols d tim fixd ts Sdi = 1 Isd + Xi,k + s s + t t + i wh Sdi sts th sd to tsy fo miil bod i, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig fom isss with otstdig isd d isd dbt. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is Bfit.11 -.***.15 -.4***.45*** (.) (.) (.11) (.) (.13) logmtity -.3.3*** -.54*.4** -.5** (.34) (.4) (.) (.4) (.) Siz dmmy.4*** -.3.14***..1*** (.5) (.4) (.) (.5) (.) Tim otstdig.1*.***.43***.1**.51*** (.1) (.) (.1) (.) (.1) Log(iss siz) -.5*** -.33*** -.4*** -.35** -.*** (.1) (.13) (.) (.15) (.1) Log(bod siz).1***.4*.14***.54.14*** (.41) (.) (.4) (.34) (.41) O ig dmmy -.1 -.14 -. -. -. (.4) (.) (.53) (.4) (.5) Costt -1.*** -1.5*** -.45-1.1*** -1.533*** (.33) (.) (.3) (.315) (.351) Obsvtios 11, 34,1,41 5,45 54,15 R-sqd..43.4..
Tbl 4.5: vg di btw isd vss isd miil bods with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th sd btw miil bod yilds d tsy o isd dmmy Sdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Sdi sts th sd to tsy fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y - y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig fom isss with otstdig isd d isd dbt. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is bfit -.3*** -.*** -.5*** -.*** -.14*** (.35) (.) (.45) (.4) (.55) Log mtity -.51***.3*** -.11***.53** -.14*** (.1) (.3) (.14) (.) (.143) Siz dmmy.4***..11***.11***.135*** (.53) (.3) (.1) (.44) (.115) Tim otstdig..4***.45***.15**.5*** (.11) (.1) (.14) (.3) (.) Log iss siz.13.13.13 -..1 (.1) (.5) (.14) (.1) (.13) Log bod siz.1***.43***.134***.4**.144*** (.4) (.1) (.) (.3) (.5) O ig dmmy.33*.13.451**.1.41** (.1) (.15) (.1) (.) (.33) Costt -3.11*** -.43*** -.4*** -.11*** -3.5*** (.543) (.515) (.4) (.5) (.45) Obsvtios 1, 1,43 4,5 35,55 35,54 R-sqd..51..4.
3 Tbl 4.: vg di btw BC isd vss isd miil bods This tbl shows slts fom th odiy lst sqs gssio of th sd btw miil bod yilds d tsy o isd dmmy Sdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Sdi sts th sd to tsy fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y - y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig fom isss with otstdig isd d isd dbt. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is bfit -.** -.11*** -.** -.11*** -.511 (.31) (.3) (.3) (.3) (.4) Log mtity -..343*** -.4***.111*** -.*** (.14) (.4) (.11) (.5) (.) Siz dmmy.5*** -..***..*** (.1) (.) (.13) (.4) (.1) Tim otstdig.11.41***.51*.53.** (.14) (.153) (.) (.14) (.41) Log iss siz.33.4..53. (.11) (.15) (.) (.11) (.3) Log bod siz.141***.1***.141***.13***.14*** (.1) (.1) (.15) (.) (.1) O ig dmmy.11**.43*.3**.4.*** (.5) (.3) (.5) (.45) (.31) Costt -3.53*** -.33*** -3.4*** -.3*** -3.3*** (.41) (.3) (.35) (.53) (.45) Obsvtios 31,,33 3, 14,1 1,13 R-sqd.4.5.3.3.1
4 Tbl 4.: vg di btw ssd isd vss isd miil bods This tbl shows slts fom th odiy lst sqs gssio of th sd btw miil bod yilds d tsy o isd dmmy Sdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Sdi sts th sd to tsy fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y - y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig fom isss with otstdig isd d isd dbt. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is bfit -.35*** -.1** -.53*** -.3*** -.54** (.1) (.1) (.151) (.) (.) Log mtity -.13***.*** -.1*** -.1 -.1*** (.11) (.3) (.1) (.1) (.11) Siz dmmy.5***.443.1***.1***.13*** (.5) (.555) (.5) (.5) (.5) Tim otstdig -.3***.41 -.1 -.1.4 (.11) (.) (.154) (.31) (.41) Log iss siz -.14.43 -.1* -. -.3 (.13) (.1) (.11) (.) (.14) Log bod siz -.15 -.54 -.1 -.1 -.4 (.) (.3) (.) (.4) (.1) O ig dmmy -.414*** -.13 -.45*** -.*** -.445*** (.11) (.11) (.1) (.15) (.1) Costt -. -1.5***.1*** -.*** -.13 (.15) (.1) (.11) (.11) (.) Obsvtios 5,3,54 1,11 1,4 1, R-sqd..5.1..41
5 Tbl 4.: vg di btw BI isd vss isd miil bods This tbl shows slts fom th odiy lst sqs gssio of th sd btw miil bod yilds d tsy o isd dmmy Sdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Sdi sts th sd to tsy fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y - y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig fom isss with otstdig isd d isd dbt. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is bfit. -.1**.1 -.11.1 (.15) (.4) (.14) (.15) (.1) Log mtity -.1***.5*** -.14*** -. -.1*** (.1) (.43) (.1) (.14) (.115) Siz dmmy.11***.3.1***.***.135*** (.5) (.454) (.3) (.5) (.4) Tim otstdig -.31.***.144.3.413** (.14) (.5) (.13) (.1) (.1) Log iss siz -.3** -.1** -.33 -.1** -.14 (.1) (.1) (.11) (.3) (.155) Log bod siz..131** -.11.1*** -.53** (.4) (.55) (.) (.) (.1) O ig dmmy -.31** -.14* -.3* -.15 -.44** (.14) (.1) (.1) (.13) (.1) Costt -.3-1.11***.3*** -.*** -.33 (.15) (.13) (.1) (.15) (.3) Obsvtios,, 1, 14,45 1,33 R-sqd..43.3..3
Tbl 4.: Slf sltio t with tim otols This tbl shows slts fom th di i di gssio blow: Sdi,j = 1 Isd + ll Isd + 3 ll + Xi,j + Xi,j ll + s s ll + s s + t t + i,j (4.1) wh Sdi,j sts th sd to tsy fo miil bod i, issd by iss j. ll is 1 if iss hs ll isss isd o isd, d Xi,j is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y - y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd isdtil.134***.***.13***.4**.*** (.) (.31) (.) (.35) (.3) isddmmy -.5*** -.*** -.4*** -.1*** -.*** (.3) (.4) (.4) (.) (.5) logmtity -.5***.3*** -.1***.*** -.15*** (.15) (.31) (.14) (.) (.14) Siz dmmy.*** -..4***.1*.11*** (.4) (.315) (.53) (.3) (.15) Tim otstdig.333.1***.45***.13.*** (.1) (.) (.145) (.3) (.1) Log(iss siz).13.15.15 -.513.15 (.1) (.4) (.14) (.15) (.14) Log(bod siz).15***.3***.134***.**.144*** (.44) (.1) (.3) (.3) (.5) O ig dmmy -.1.35 -.145 -.15 -.11 (.1) (.33) (.14) (.114) (.1) Costt -.5*** -1.1*** -1.34*** -1.5*** -.341*** (.355) (.33) (.3) (.45) (.313) Obsvtios 1,41 33,1 5,3 55, 53,5 R-sqd.5..1.5.4
Tbl 4.1: Slf sltio t with tim otols fo BC isd bods This tbl shows slts fom th di i di gssio blow: Sdi,j = 1 Isd + ll Isd + 3 ll + Xi,j + Xi,j ll + s s ll + s s + t t + i,j (4.) wh Sdi,j sts th sd to tsy fo miil bod i, issd by iss j. ll is 1 if iss hs ll isss isd o isd, d Xi,j is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd isdtil.1***.14***.1***.134***.*** (.35) (.4) (.41) (.41) (.43) isddmmy -.*** -.11*** -.3** -.11*** -.55 (.) (.3) (.33) (.3) (.3) Siz dmmy.4*** -.1*.***..*** (.) (.4) (.11) (.5) (.13) Tim otstdig. -.53**.*** -.1.11*** (.1) (.) (.) (.11) (.3) Log(iss siz).53 -.13.3* -.1.33 (.1) (.1) (.4) (.1) (.3) Log(bod siz).133***.1***.11***.1***.14*** (.1) (.5) (.1) (.3) (.1) O ig dmmy.311** -.11.4*** -.15.1*** (.133) (.11) (.1) (.13) (.15) Costt -.43*** -.14*** -1.3*** -1.5*** -1.*** (.55) (.345) (.3) (.3) (.4) Obsvtios 4,3 15,5 34,33 4,3 4,3 R-sqd.5.33.33.4.
Tbl 4.11: Slf sltio t with tim otols fo ssd isd bods This tbl shows slts fom th di i di gssio blow: Sdi,j = 1 Isd + ll Isd + 3 ll + Xi,j + Xi,j ll + s s ll + s s + t t + i,j (4.3) wh Sdi,j sts th sd to tsy fo miil bod i, issd by iss j. ll is 1 if iss hs ll isss isd o isd, d Xi,j is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd isdtil.31* -.134.54***.415.3*** (.13) (.14) (.4) (.13) (.33) isddmmy -.34** -.45 -.44*** -.34*** -.45* (.13) (.1) (.15) (.4) (.4) Siz dmmy.51***.544.***.1**.4*** (.43) (.4) (.1) (.45) (.5) Tim otstdig.33*** -.33***.*** 4.4-5.15*** (.111) (.44) (.155) (.) (.34) Log(iss siz) -.15 -.31 -.3* -.5 -.43 (.) (.1) (.13) (.) (.15) Log(bod siz) -.1**.15 -.*** -.43 -.3*** (.1) (.) (.) (.) (.113) O ig dmmy -.*** -.5 -.33*** -.43*** -.34* (.5) (.) (.11) (.3) (.13) Costt -.4*** -1.53***.4*** -.4***.*** (.11) (.1) (.1) (.55) (.1) Obsvtios 4,1 14,5 31, 4,4,15 R-sqd.1.43.41..15
Tbl 4.1: Slf sltio t with tim otols fo BI isd bods This tbl shows slts fom th di i di gssio blow: Sdi,j = 1 Isd + ll Isd + 3 ll + Xi,j + Xi,j ll + s s ll + s s + t t + i,j (4.4) wh Sdi,j sts th sd to tsy fo miil bod i, issd by iss j. ll is 1 if iss hs ll isss isd o isd, d Xi,j is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Th sml is stitd to gl obligtio miil bods with dlyig tig. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd isdtil.1*** -.4.11***.4.14*** (.) (.11) (.3) (.11) (.34) isddmmy.134 -.1.4 -.1.13 (.131) (.11) (.1) (.1) (.1) Siz dmmy.4*** -.1.41***.113**.*** (.514) (.43) (.3) (.51) (.) Tim otstdig.*** -.5***.13***.13*.1*** (.) (.4) (.135) (.1) (.1) Log(iss siz) -.1 -.31***.1 -.15**. (.11) (.111) (.1) (.) (.1) Log(bod siz) -.***.3*** -.5***.14* -.*** (.) (.4) (.) (.35) (.1) O ig dmmy -.4*** -.144* -.43** -.** -.53** (.1) (.) (.5) (.1) (.54) Costt -.** -.***.5*** -.14*** -.1 (.11) (.11) (.14) (.1) (.15) Obsvtios 4,4 15, 31,5,55 1,5 R-sqd..35.1.5.5
.1: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly. This fig sts th Bisd OLS vg stimt of is.
.: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly. 1
.3: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly.
.4: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly. 3
.5: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly. 4
.: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly. 5
.: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly.
.: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly.
.: Th two vtil lis st th dts of th stok is do d th fist tigs dowgd of BC I, stivly.
Tbl 4.13: Di s btw th two tys of isss with isd bods This tbl shows slts fom th odiy lst sqs gssio of th sd btw miil bod yilds d tsy o iss ty dmmy d otols Sd i = 1 ll + X i,k + s s + i wh Sd i sts th sd to tsy fo miil bod i, ll is o if bod i is issd by iss with oly isd otstdig bods d zo othwis, s is st of stt otols, X i,k is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, d i is o tm. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 ilds stdd otols. Sifitio ilds tim fixd ts. Th sml is stitd to gl obligtio miil bods with dlyig tig fom -. No Tim Fixd E ts Tim Fixd E ts lldmmy -.1.14 (.41) (.1) logmtity -.1*** -.35** (.3) (.1) Siz dmmy.***.*** (.13) (.3) Tim otstdig.414***.3*** (.35) (.13) Log(iss siz) -.1*** -.531*** (.1) (.114) Log(bod siz).1***.131*** (.4) (.43) O ig dmmy.11***.*** (.31) (.5) Costt -1.*** -1.5*** (.34) (.5) Obsvtios 4,3 4,3 R-sqd.333. 4. Sod ht
Tbl 4.14: Di s btw th two tys of isss with isd bods This tbl shows slts fom th odiy lst sqs gssio of th sd btw miil bod yilds d tsy o iss ty dmmy d otols Sd i = 1 ll + X i,k + s s + i wh Sd i sts th sd to tsy fo miil bod i, ll is o if bod i is issd by iss with oly isd otstdig bods d zo othwis, s is st of stt otols, X i,k is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, d i is o tm. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 ilds stdd otols. Sifitio ilds tim fixd ts. Th sml is stitd to gl obligtio miil bods with dlyig tig fom -. No tim Fixd E ts Tim Fixd E ts lldmmy. -.33 (.) (.45) logmtity -.31*** -.4* (.555) (.34) Siz dmmy.***.51*** (.1) (.14) Tim otstdig.5***.4 (.43) (.11) Log(iss siz) -.*** -.113 (.43) (.3) Log(bod siz).553** -.5 (.3) (.1) O ig dmmy -.13 -.1** (.14) (.) Costt.1 -.44*** (.35) (.14) Obsvtios,133,133 R-sqd.3.41
1 Tbl 4.15: Liklihood of bod big isd This tbl shows slts fom th logistil gssio of isd dmmy o bod htistis d miil htistis Isd i = 1 i + + i + X i,k + s s + + i (4.5) wh Isd i is o if bod i is isd d othwis, is 1 if bod i hs dlyig tig of d othwis, + is 1 if bod i hs dlyig tig of + d othwis, s is st of stt otols, is st of ss otols, X i,k is vto of k stdd otols sd to stimt miil bod sds to tsy fo bod i, d i is o tm. Stdd os lstd by iss show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 ilds ll bod. Sifitio ilds bods with -,, d + dlyig tig. Th sml is stitd to gl obligtio miil bods with dlyig tig fom -. VRIBLES ll -.14*** -1.4*** (.3) (.453) + -4.3*** -3.*** (.53) (.5) Gl Obligtio -1.335-1.35*** (1.) (.4) Comtitiv O ig.4**.15 (.3) (.4) Cllbl -.*** -.4** (.) (.313) Log tity.55***.5*** (1.51) (1.) Log Isssiz 1.***.*** (1.11) (.5) Log Bodsiz -.3-1. (1.) (1.553) Log Bodsizsq..4 (.3) (.51) Log Isssiz sqd -.*** -.*** (.5) (.) Log Poltio 1.5** -.15 (.5) (1.141) Log Pooltio sqd -.*** -. (.) (.45) Log Itst o Dbt Cit -.3 -.3 (.43) (.53) Log Dbt Issd Cit -.15 -.3 (.1) (.1) Log Poty Tx Cit -.3** -.144 (.13) (.15) Costt -11.*** -14.*** (1.4) (.4) Obsvtios 1,1,4
Tbl 4.1: List of Cotols VRIBLE Dsitio Dmmy vibl = 1 fo S&P tig of Dmmy vibl = 1 fo S&P tig of +,, d - Dmmy vibl = 1 fo S&P tig of +,, d - BBB+ Isd dmmy Siz dmmy Tim otstdig Stt dmmis Tim dmmis Ty dmmy O ig dmmy Log mtity Log isssiz Log bodsiz Dmmy vibl = 1 fo S&P tig of BBB+ Dmmy vibl=1 if th bod is Isd Dmmy vibl =1 if th td siz is gt th 1, dolls Th mb of ys si th bod ws issd Dmmy vibl=1 if bod is issd i th stt Dmmy vibl=1 if bod tdd dig th moth Dmmy vibl =1 if th bod is Gl Obligtio Dmmy vibl =1 if th bod ws issd sig Comtitiv o ig Ntl log of th mtity of th bod Ntl log of th doll mot of th ti dbt iss Ntl log of th doll mot of th bod iss
3 Tbl 4.1: Dsitiv Sttistis by Td fo mihd s Vibl Cot SD tity 3, 15.4.3 Coo 1,5 4.45 1. P Td (i dolls) 3, 34,5,341,5 Iss siz (i millios of dolls),5 Bod siz (i millios of dolls), Tbl 4.1: Dsitiv Sttistis by Td fo Bid-sk s Vibl Cot SD tity,15 1.1.3 Coo,3 4.55. P Td (i dolls),15 4,5,15, Iss siz (i millios of dolls),11 3 5 Bod siz (i millios of dolls) 1,54 4 143 Tbl 4.1: Dsitiv Sttistis by Td fo Tov s Vibl Cot SD tity,5,14 14.. Coo,4,441 4.41. P Td (i dolls),5,14 33,35 4,35, Iss siz (i millios of dolls),4, 3 5 Bod siz (i millios of dolls),3, 1 3
4 Tbl 4.: Dsitiv Sttistis by Bod fo mihd s Vibl Cot SD tity 14,3 11.. Coo 14,441 4.1 1.5 P Td (i dolls) 14,3,45 3,35,4 Iss siz (i millios of dolls) 14,1 15 4 Bod siz (i millios of dolls) 14,43 5 Tbl 4.1: Dsitiv Sttistis by Bod fo Bid-sk s Vibl Cot SD tity, 1..4 Coo,55 4.3 1.3 P Td (i dolls), 3,3,1,1 Iss siz (i millios of dolls), 15 51 Bod siz (i millios of dolls), 31 Tbl 4.: Dsitiv Sttistis by Bod fo Tov s Vibl Cot SD tity 1,4 1.. Coo 11,4 4.14 1. P Td (i dolls) 1,4,35 3,3,51 Iss siz (i millios of dolls) 11, 4 Bod siz (i millios of dolls) 1,1 4 1
Tbl 4.3: P Rtigs Distibtio by Tim Piod fo mihd s Vibl Fll Sml P stok do Post stok do P dowgd Post dowgd 1. 1. 1. 1.5 1. 45. 4.5 4.5 4. 4. 3. 34.4 31. 34.1 31. BBB+ 1.4.4 1.1.3 1. Isd 53.5.4 4.1.5 44.3 Totl 3, 15, 3,134 3,1 545,1 5
Tbl 4.4: P Rtigs Distibtio by Tim Piod fo Bid-sk s Vibl Fll Sml P stok do Post stok do P dowgd Post dowgd 15. 15. 15. 15.5 15. 45.45 43.3 45.4 43.53 4. 34.45 35. 34.3 35.1 33.5 BBB+ 1..5 1..3 1. Isd 5.. 45.45 5.1 3.1 Totl,15 3,1 1,4 4,54 14,1
Tbl 4.5: P Rtigs Distibtio by Tim Piod fo Tov s Vibl Fll Sml P stok do Post stok do P dowgd Post dowgd 1.5 1. 1.5 1. 1.43 45.53 41.3 4.53 4. 4.5 3. 34.5 31. 34.3 3.1 BBB+ 1..5 1.3.43 1. Isd 5.3.3 5.5.1 4. Totl,5,14 4, 1,,5 3,1 1,31,1
Tbl 4.: tl Rtigs Distibtio by Tim Piod fo mihd s Vibl Fll Sml P stok do Post stok do P dowgd Post dowgd 43.51 54.5 4. 5.5 34.1 35.5 5. 3.1 4.1 43. 1.3 1.11 1.3 1. 1. BBB+ 1.11 1.33 1.5 1.1 1. Isd 53.5.4 4.1.5 44.3 Totl Bods 3, 15, 3,134 3,1 545,1
Tbl 4.: tl Rtigs Distibtio by Tim Piod fo Bid-sk s Vibl Fll Sml P stok do Post stok do P dowgd Post dowgd 3.31 45.53 3. 4. 31.4 3.. 3.5.55 4. 5..5.43.3 3.3 BBB+ 1. 1.4 1. 1.4 1.1 Isd 5.. 45.45 5.1 3.1 Totl Bods,15 3,1 1,4 4,54 14,1
Tbl 4.: tl Rtigs Distibtio by Tim Piod fo Tov s Vibl Fll Sml P stok do Post stok do P dowgd Post dowgd 45.4 5.3 41..5 34. 34.4.5 3..3 43.4 1.4 14.1 1.51 14. 1. BBB+ 1.5 1.31. 1.1 1. Isd 5.3.3 5.5.1 4. Totl Bods,5,14 4, 1,,5 3,1 1,31,1 1
11 Tbl 4.: vg di i mihd ms btw isd d isd miil bods with otols d tim fixd ts This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o isd dmmy, otols d tim fixd ts mihdi = 1 Isd + Xi,k + s s + t t + i wh mihdi sts th mihd liqidity ms fo miil bod i, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols ildig th tig, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t 1.-*** 1.3-** 1.-**.1-*** 1.31- (.-) (.5-) (.55-) (5.3-) (.-) Log(mtity) 1.-*** 4.-*** 1.-*** 5.4-*** 1.13-*** (.-) (4.4-) (3.11-) (3.3-) (3.53-) Siz dmmy 3.-*** 1.-*** 3.5-***.3-*** 3.4-*** (.1-) (4.5-) (3.4-) (3.43-) (3.5-) Tim otstdig.3-*** 1.15-***.4-***.-***.3-*** (3.4-) (1.4-) (3.11-) (5.4-) (3.4-) Log(iss siz) -.3-*** -.- -.-*** -5.3- -3.3-*** (3.5-) (4.-) (3.4-) (4.-) (3.-) Log(bod siz) 4.1-***.13-*** 4.4-*** 1.1-*** 5.3-*** (3.35-) (4.-) (3.-) (4.-) (3.-) O ig dmmy -1.-**.1- -1.4-** -1.- -1.-** (5.14-) (5.5-) (5.-) (4.-) (.1-) Costt -4.-*** -.-*** -4.1-*** -.-*** -5.54-*** (4.-) (3.5-) (4.43-) (3.-) (5.3-) ) Obsvtios 3,4 4,5 341,1 11,33,14 R-sqd.1.4..3.11
1 Tbl 4.3: vg di i mihd ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o isd dmmy mihdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.1-*** 1.41-.5-*** 3.3-***.-*** (.-) (.-) (.-) (.4-) (1.13-) Log(mtity).14-*** 4.5-***.4-*** 5.3-***.55-*** (.41-) (3.-) (.1-) (3.3-) (.1-) Siz dmmy.-*** 1.3-*** 3.-***.1-*** 3.3-*** (.3-) (3.1-) (.55-) (.-) (.-) Tim otstdig.3-***.3-***.-***.4-*** 5.5-*** (.5-) (1.-) (3.1-) (5.-) (3.4-) Log(iss siz) -1.4-*** -1.3- -1.5-*** -4.1- -.-*** (5.14-) (1.15-) (5.3-) (.-) (5.55-) Log(bod siz) 4.1-*** 1.4-*** 4.3-***.4-5.43-*** (.3-) (3.4-) (3.-) (5.45-) (3.31-) O ig dmmy.1-** 3.-**.4-*** -3.- 3.-*** (.5-) (1.5-) (.4-) (.-) (1.13-) Costt -5.5-*** -.- -.13-*** -.-* -.1-*** (.-) (1.4-) (.4-) (1.-) (1.-) Obsvtios 3,4 4,5 341,1 11,33,14 R-sqd.135..13.114.14
13 Tbl 4.31: vg di i mihd ms btw isd d isd miil bods with iss fixd ts, tim fixd ts, dlyig tig dmmis d otols This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o isd dmmy mihdi = 1 Isd + i + 3 i + 4 BBB +i + Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, Isd is o if bod i is isd d zo othwis, i is o if bod i is -td d zo othwis, i is o if bod i is -td d zo othwis, BBB+i is o if bod i is BBB+-td d zo othwis. Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.1-*** 1.34-.-*** 3.5-***.14-*** (.31-) (.-) (.3-) (.55-) (1.14-) Log(mtity).14-*** 4.5-***.4-*** 5.3-***.55-*** (.4-) (3.-) (.-) (3.3-) (.-) Siz dmmy.-*** 1.3-*** 3.-***.1-*** 3.3-*** (.3-) (3.1-) (.55-) (.-) (.-) Tim otstdig.3-***.3-***.5-***.4-*** 5.4-*** (.4-) (1.-) (3.1-) (5.-) (3.4-) Log(iss siz) -1.-*** -1.3- -1.-*** -4.5- -.-*** (5.13-) (1.1-) (5.-) (.5-) (5.5-) Log(bod siz) 4.-*** 1.5-*** 4.3-***.- 5.41-*** (.3-) (3.4-) (3.-) (5.4-) (3.-) O ig dmmy.14-** 3.3-**.41-*** -3.55-3.-*** (.43-) (1.5-) (.35-) (.-) (1.1-) Costt -5.44-*** -.33- -5.-*** -1.-* -.3-*** (.-) (1.-) (.-) (1.-) (1.-) Obsvtios 3,4 4,5 341,1 11,33,14 R-sqd.135..13.114.14
14 Tbl 4.3: Th vg t of h is o liqidity s msd by th mihd ms This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o dmmy fo h is mihdi = 1 mb + ssd + 3 BI+ Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, mb is o if bod i is isd by mb d zo othwis, ssd is o if bod i is isd by ssd d zo othwis, BI is o if bod i is isd by BI d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd otols ildig dlyig tig otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd mb t 5.-*** 1.5-5.1-*** 3.-*** 5.4-*** (1.3-) (1.55-) (1.4-) (1.14-) (1.3-) BI t 5.-***.5-.3-*** 4.4-*** 5.3-*** (1.3-) (1.-) (1.5-) (1.3-) (1.5-) ssd t 5.31-***.- 5.4-***.43-*** 5.-*** (.1-) (1.1-) (1.-) (.41-) (1.3-) Log(mtity).5-*** 4.1-***.-*** 5.5-***.4-*** (.3-) (3.-) (.5-) (3.34-) (.5-) Siz dmmy.-*** 1.-*** 3.5-***.1-*** 3.-*** (.1-) (3.33-) (.3-) (.-) (.5-) Tim otstdig 5.1-***.3-*** 5.5-***.-*** 5.4-*** (3.3-) (1.4-) (3.-) (5.3-) (4.3-) Log(iss siz) -.44-*** -.-** -.4-*** -1.1-** -.-*** (5.3-) (1.-) (5.3-) (.3-) (5.3-) Log(bod siz) 4.-*** 1.3-*** 4.3-*** 1.-*** 5.3-*** (.-) (3.-) (.4-) (4.5-) (3.1-) Costt -4.44-***.5- -4.-*** -4.5- -4.-*** (.3-) (.1-) (.11-) (1.5-) (1.5-) Obsvtios 44,135 1, 35,35 14,55,1 R-sqd.13.11.133.114.143
15 Tbl 4.33: vg di i mihd ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tig This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o isd dmmy mihdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t 4.3-*** -.4-1 4.4-***.1-5.13-*** (1.1-) (1.1-) (1.14-) (1.3-) (1.34-) Log(mtity).3-*** 4.-***.-*** 5.1-***.-*** (3.1-) (5.-) (3.41-) (.1-) (3.-) Siz dmmy.3-*** 1.5-***.-***.11-*** 3.14-*** (3.3-) (5.-) (3.3-) (4.-) (4.3-) Tim otstdig.-*** 1.5-***.5-***.4-***.1-*** (4.4-) (3.-) (4.-) (1.-) (5.3-) Log(iss siz) -.-*** -3.- -.-*** -1.5- -.-*** (.5-) (.33-) (.-) (1.3-) (.-) Log(bod siz) 4.4-*** 1.-*** 4.4-***.1-5.-*** (4.-) (5.-) (4.-) (1.13-) (4.-) O ig dmmy.3-** 4.-*.5-**.-.-** (1.4-) (.-) (1.13-) (1.45-) (1.31-) Costt -3.53-** 1.3- -4.3-*** 1.4- -.-*** (1.3-) (3.-) (1.3-) (.3-) (1.3-) Obsvtios 1, 1, 1,3 54,4 13, R-sqd.14.14.13..155
1 Tbl 4.34: vg di i mihd ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tig This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o isd dmmy mihdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t 1.1-*** 4.35-** 1.-***.-*** 1.1-*** (.15-) (.15-) (.35-) (.-) (.-) Log(mtity).53-*** 4.-*** 1.-*** 4.3-*** 1.5-*** (5.-) (.-) (.-) (5.5-) (.5-) Siz dmmy.-*** 1.-*** 3.-***.1-*** 3.4-*** (5.-) (.-) (5.54-) (5.1-) (.1-) Tim otstdig 3.-*** 5.1-** 3.4-***.51-***.1-*** (.14-) (.5-) (.-) (1.-) (.-) Log(iss siz) -1.-**.- -.1-** 3.3- -3.-*** (.5-) (1.5-) (.5-) (.-) (1.14-) Log(bod siz) 3.44-***.- 3.5-*** 1.3-*** 4.-*** (4.41-) (4.54-) (4.-) (3.1-) (5.1-) O ig dmmy -3.- 4.4- -.- -1.- 3.-1 (.-) (.5-) (.55-) (.3-) (3.4-) Costt -5.-*** -4.3-* -4.-*** -3.5-** -.- (1.5-) (.4-) (1.5-) (1.-) (1.-) Obsvtios,3 13,133 5,3 33,5 4,4 R-sqd.11.14.11.14.11
1 Tbl 4.35: vg di i mihd ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tl tig This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o isd dmmy mihdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.-***.1-.-***.1-1.1-** (.43-) (.-) (.-) (1.-) (4.11-) Log(mtity).-*** 4.3-***.-***.-***.3-*** (4.1-) (5.4-) (4.54-) (.-) (4.-) Siz dmmy 3.-***.1-*** 3.1-***.41-*** 3.3-*** (3.31-) (5.5-) (3.-) (4.5-) (4.41-) Tim otstdig 5.-***.-*** 5.31-*** 5.54-*** 4.-*** (4.3-) (.13-) (4.4-) (.51-) (5.5-) Log(iss siz) -1.5-.1-1 -1.54-* 1.- -.55-*** (.-) (.-) (.1-) (1.5-) (.3-) Log(bod siz) 3.45-*** 3.- 3.-*** -3.- 5.43-*** (5.-) (4.4-) (.3-) (1.1-) (.3-) O ig dmmy 3.-*** 5.-** 3.3-***.4-** 4.-*** (1.1-) (.35-) (1.3-) (1.45-) (1.53-) Costt -.3-*** -.1-* -5.1-*** -3.-** -.-*** (1.5-) (1.31-) (1.3-) (1.3-) (1.-) Obsvtios 11,13 4,1 14,1 4, 1,33 R-sqd.14..14.114.1
1 Tbl 4.3: vg di i mihd ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tl tig This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o isd dmmy mihdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t 3.45-*** -3.4-*** 4.-*** -5.3-3.-* (1.34-) (1.3-) (1.55-) (1.13-) (1.-) Log(mtity).3-*** 4.-***.45-*** 4.-***.-*** (3.-) (.14-) (3.41-) (4.4-) (3.-) Siz dmmy.-*** 1.33-***.4-*** 1.-*** 3.3-*** (3.-) (.1-) (4.1-) (4.-) (4.5-) Tim otstdig.1-*** 1.5-***.-***.3-***.3-*** (4.5-) (.-) (5.-) (.5-) (5.-) Log(iss siz) -3.-*** -3.- -.5-*** -.14-* -.51-*** (.1-) (.-) (.51-) (1.-) (.-) Log(bod siz) 4.4-*** 1.-*** 4.-*** 1.3-*** 5.5-*** (3.5-) (.-) (3.4-) (4.4-) (4.14-) O ig dmmy 1.1-4.1-1.- -.11-1 1.1- (1.1-) (3.4-) (1.3-) (1.3-) (1.3-) Costt -3.5-*** 1.4- -4.3-*** -3.- -.3-*** (1.3-) (3.-) (1.3-) (1.1-) (1.44-) Obsvtios 14,34 14,31 135,45 33, 115,5 R-sqd.15.1.15.151.1
1 Tbl 4.3: vg di i mihd ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tl tig This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o isd dmmy mihdi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.3-*** -.5-.-*** -.53-1 1.15-*** (.-) (1.-) (.-) (1.31-) (3.44-) Log(mtity).-*** 3.5-***.53-*** 3.5-*** 1.3-*** (.5-) (.-) (.1-) (5.54-) (.-) Siz dmmy.-*** 1.13-***.-*** 1.4-*** 3.1-*** (.54-) (.35-) (.5-) (.1-) (.5-) Tim otstdig 5.-*** 1.3-** 4.5-***.1-*** 4.1-*** (.14-) (5.3-) (1.-) (1.5-) (1.1-) Log(iss siz) -.5- -.3-1 -.- -3.4- -1.4- (.51-) (1.44-) (1.4-) (.-) (1.1-) Log(bod siz) 3.5-*** 5.4-3.4-*** 1.1-*** 4.31-*** (5.-) (4.-) (5.5-) (3.5-) (.5-) O ig dmmy -1.3-1 -1.45-.45-1 -5.5-**.5- (.5-) (4.3-) (3.1-) (.-) (3.-) Costt -.1-*** -1.3- -.-*** -1.3- -.1-*** (1.-) (3.14-) (1.5-) (1.3-) (.4-) Obsvtios 1,4,5 53,341 1,4 43, R-sqd.13.15.13.1.1
11 Tbl 4.3: E t of hg i is stts o th mihd ms with tim otols This tbl shows slts fom th di i di gssio blow: mihd i,j = 1 Isd + PEvt Isd + 3 PEvt+ X i,j + X i,j PEvt+ s s PEvt+ s s + t t + i,j wh mihd i,j sts th mihd ms fo miil bod i, issd by iss j. PEvt is 1 if dt of ms is bfo th giv vt, d X i,j is vto of k stdd otols, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t vt. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is sig th stok i do of th iss s th vt. Sifitio is sig th dowgd of th iss s th vt. Stok Do Rtigs Dowgd isdtil -3.3-1.- (.3-) (.-) dowgd -.3-1 (1.54-) Is t 1.-** 1.3-** (.4-) (.-) Log(mtity) 1.-*** 1.-*** (3.1-) (.-) Siz dmmy 3.5-*** 3.-*** (3.4-) (.3-) Tim otstdig.41-***.4-*** (3.1-) (3.-) Log(iss siz) -.-*** -.3-*** (3.4-) (3.4-) Log(bod siz) 4.4-*** 4.1-*** (3.5-) (3.35-) O ig dmmy -1.-** -1.-** (5.1-) (5.14-) Costt -3.41-*** -4.5-*** (4.14-) (3.-) Obsvtios 3,4 3,4 R-sqd.13.1
111 Tbl 4.3: E t of hg i is stts o th mihd ms with tim otols, iss otols, dlyig tig dmmis d otols This tbl shows slts fom th di i di gssio blow: mihd i,j = 1 Isd + PEvt Isd + 3 PEvt+ X i,j + X i,j PEvt+ s s PEvt+ s s + t t + i,j wh mihd i,j sts th mihd ms fo miil bod i, issd by iss j. PEvt is 1 if dt of ms is bfo th giv vt, d X i,j is vto of k stdd otols, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t vt. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is sig th stok i do of th iss s th vt. Sifitio is sig th dowgd of th iss s th vt. Stok Do Rtigs Dowgd isdtil 1.11-1.-** (1.1-) (.5-) Is t.13-*** 5.1-*** (.1-) (.3-) Log(mtity).-***.5-*** (.-) (.-) Siz dmmy 3.5-*** 3.3-*** (.5-) (3.5-) Tim otstdig.-*** 5.1-*** (3.-) (3.-) Log(iss siz) -.15-*** -3.1-*** (5.1-) (5.13-) Log(bod siz) 4.3-*** 5.5-*** (3.-) (3.5-) O ig dmmy.1-**.3-** (.53-) (.5-) Costt -5.3-*** -4.-*** (1.3-) (.-) Obsvtios 3,4 3,4 R-sqd.13.13
11 Tbl 4.4: vg di i mihd ms btw -td d o -td miil bods with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th mihd ms o dmmy mihdi = 1 + Xi,k + Iss Iss + s s + t t + i wh mihdi sts th mihd ms fo miil bod i, is o if bod i hs tl tig of d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd t 3.4-***.1-*** 3.41-*** 5.5-*** 3.1-*** (5.-) (.1-) (.15-) (5.4-) (.1-) Log(mtity).4-*** 4.1-***.51-*** 5.1-***.-*** (.4-) (3.-) (.-) (3.4-) (.3-) Siz dmmy.-*** 1.-*** 3.-***.-*** 3.4-*** (.3-) (3.-) (.5-) (.4-) (3.1-) Tim otstdig.-***.1-***.-***.14-***.4-*** (.-) (1.4-) (.-) (5.-) (3.3-) Log(iss siz) -1.-*** -1.- -1.-*** -3.4- -.15-*** (5.1-) (1.1-) (5.-) (.1-) (5.-) Log(bod siz) 3.-*** 1.5-*** 4.-***.- 5.34-*** (.5-) (3.4-) (3.11-) (5.4-) (3.34-) O ig dmmy 1.1-** 3.1-**.15-** -1.5-.-** (.5-) (1.-) (.5-) (.4-) (1.13-) Costt -5.-*** -5.1- -.4-*** -1.1- -.1-*** (.-) (1.-) (.-) (1.1-) (1.-) Obsvtios 3,4 4,5 341,1 11,33,14 R-sqd.135.31.13.115.14
113 Tbl 4.41: vg di i Bid-sk ms btw isd d isd miil bods with otols d tim fixd ts This tbl shows slts fom th odiy lst sqs gssio of th bid-sk ms o isd dmmy, otols d tim fixd ts Bidski = 1 Isd + Xi,k + s s + t t + i wh Bidski sts th bid-sk liqidity ms fo miil bod i, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.15***.1***.15***.13***.14*** (.) (.54) (.45) (.44) (.311) Log(mtity).***.1***.4***.5***.*** (.1-5) (.1) (.-5) (.11) (.11) Siz dmmy.1***.5***.1***.1***.1*** (.1-5) (.15) (.-5) (.115) (.11) Tim otstdig.1***.1***.114***.15***.1*** (.-5) (.544) (.-5) (.15) (.4-5) Log(iss siz).14***.**.1**.43***.3-5 (.-5) (.11) (.34-5) (.-5) (.5-5) Log(bod siz).1***.3***.1***.***.15*** (.5-5) (.13) (.-5) (.1) (.1) O ig dmmy.1***.3***.1***.14***.11*** (.1) (.1) (.14) (.1) (.1) Costt -.35*** -.3*** -.3*** -.*** -.4*** (.15) (.) (.15) (.13) (.1) Obsvtios 1,,5,3 4,31 4,5 R-sqd...15.45.1
114 Tbl 4.4: vg di i Bid-sk ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th Bid-sk ms o isd dmmy Bidski = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Bidski sts th bid-sk ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.14***.4***.15***.***.153*** (.1) (.3) (.31) (.43) (.3) Log(mtity).3***.13***.3***.5***.31*** (.4-5) (.1) (.14) (.13) (.135) Siz dmmy.1***.11***.13***.1***.13*** (.3-5) (.13) (.14) (.1) (.1) Tim otstdig.14***.43.13***.151***.1*** (.11) (.1) (.1) (.1) (.15) Log(iss siz).11 -.1.15.3-5.135 (.15) (.34) (.14) (.11) (.1) Log(bod siz).14***.41***.14***.5***.1*** (.5-5) (.133) (.4-5) (.5-5) (.1) O ig dmmy.11***.51***.55**.55*.5* (.3) (.5) (.3) (.4) (.4) Costt -.*** -.1* -.31*** -.14*** -.31*** (.) (.54) (.53) (.314) (.3) Obsvtios 1,,5,3 4,31 4,5 R-sqd.1.343..3.
115 Tbl 4.43: vg di i Bid-sk ms btw isd d isd miil bods with iss fixd ts, tim fixd ts, dlyig tig dmmis d otols This tbl shows slts fom th odiy lst sqs gssio of th Bid-sk ms o isd dmmy Bidski = 1 Isd + i + 3 i + 4 BBB +i + Xi,k + Iss Iss + s s + t t + i wh Bidski sts th bid-sk ms fo miil bod i, Isd is o if bod i is isd d zo othwis, i is o if bod i is -td d zo othwis, i is o if bod i is -td d zo othwis, BBB+i is o if bod i is BBB+-td d zo othwis. Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.13***.***.153***.5***.15*** (.3) (.) (.31) (.4) (.4) Log(mtity).3***.13***.31***.***.31*** (.4-5) (.1) (.14) (.13) (.135) Siz dmmy.15***.1***.13***.1***.135*** (.3-5) (.11) (.14) (.15) (.1) Tim otstdig.14***.454.134***.15***.14*** (.11) (.1) (.1) (.1) (.151) Log(iss siz).145-4.1-5.4 4.5-5.11 (.15) (.) (.14) (.1) (.1) Log(bod siz).13***.4***.14***.5***.1*** (.-5) (.13) (.4-5) (.3-5) (.1) O ig dmmy.11***.3***.1**.55**.5* (.3) (.) (.3) (.4) (.4) Costt -.*** -.41* -.33*** -.14*** -.*** (.3) (.5) (.) (.33) (.34) Obsvtios 1,,5,3 4,31 4,5 R-sqd.1.344.1.33.
11 Tbl 4.44: Th vg t of h is o liqidity s msd by th bid-sk ms with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th bid-sk ms o dmmy fo h is Bidski = 1 mb + ssd + 3 BI+ Xi,k + Iss Iss + s s + t t + i wh Bidski sts th bid-sk ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd mb t.11***.15.14***.11***.14** (.31) (.1) (.431) (.43) (.53) BI t.11***..115***.1***.1** (.3) (.) (.3) (.3) (.54) ssd t.1***.11.1***.13***.1*** (.) (.554) (.31) (.33) (.41) Log(mtity).***.144***.315***.3***.31*** (.-5) (.1) (.11) (.11) (.131) Siz dmmy.11***.1***.13***.1***.135*** (.-5) (.1) (.-5) (.11) (.1) Tim otstdig.1***..11***.14***.1*** (.1) (.55) (.1) (.1) (.145) Log(iss siz).-5-5.3-5.11 -.- 4.4- (.11) (.4) (.13) (.1) (.15) Log(bod siz).13***.4***.14***.5***.14*** (.5-5) (.11) (.1-5) (.1-5) (.11) Costt -.*** -.53 -.5*** -.13*** -.5*** (.33) (.545) (.) (.31) (.33) Obsvtios,3 11,5,1,3 5,314 R-sqd..34.53.3.1
11 Tbl 4.45: vg di i Bid-sk ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tig This tbl shows slts fom th odiy lst sqs gssio of th Bid-sk ms o isd dmmy Bidski = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Bidski sts th bid-sk ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.15***.5.153***.4**.1*** (.5) (.) (.311) (.441) (.3) Log(mtity).4***.11***.***.***.*** (.11) (.4) (.13) (.1) (.15) Siz dmmy.11***.***.14***.14***.14*** (.1) (.1) (.144) (.1) (.15) Tim otstdig.13***.1.13***.1***.11*** (.143) (.4) (.153) (.5) (.1) Log(iss siz) -5.33-5.1 -.-5.3* -.-5 (.14) (.3) (.1) (.11) (.) Log(bod siz).135***.4***.14***.5***.11*** (.1) (.14) (.113) (.135) (.15) O ig dmmy.34***.**.3***.11**.1*** (.33) (.1) (.414) (.) (.41) Costt -.*** -.43*** -.*** -.1*** -.3*** (.3) (.5) (.34) (.3) (.41) Obsvtios 34,5 4, 3,34 11,33 3,3 R-sqd.1.35..33.
11 Tbl 4.4: vg di i Bid-sk ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tig This tbl shows slts fom th odiy lst sqs gssio of th Bid-sk ms o isd dmmy Bidski = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Bidski sts th bid-sk ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.5***.4***.14***.33***.1* (.54) (.11) (.1) (.) (.1) Log(mtity).313***.**.341***.31***.31*** (.4) (.3) (.313) (.3) (.35) Siz dmmy.1***.1***.13***.1***.15*** (.) (.41) (.) (.33) (.5) Tim otstdig.1***.54.1***.*.14*** (.34) (.11) (.44) (.43) (.4) Log(iss siz) 4.55-5.514-1.-5 -.43-5 -.44 (.3) (.5) (.353) (.34) (.455) Log(bod siz).155***.**.1***.3***.1*** (.13) (.) (.4) (.1) (.4) O ig dmmy -.114.1 -.11*.13 -.334*** (.5) (.14) (.) (.1) (.11) Costt -.3*** -.** -.*** -.1* -.45*** (.53) (.1) (.51) (.) (.1) Obsvtios 1,3,414 1,51,1 1,5 R-sqd.5.441..354.
11 Tbl 4.4: vg di i Bid-sk ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tl tig This tbl shows slts fom th odiy lst sqs gssio of th Bid-sk ms o isd dmmy Bidski = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Bidski sts th bid-sk ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t..4.5.4**.14 (.) (.15) (.1) (.1) (.15) Log(mtity).3***.14***.3***.***.3*** (.141) (.413) (.15) (.3) (.1) Siz dmmy.11***.14***.15***.55***.15*** (.14) (.353) (.15) (.13) (.14) Tim otstdig.113*** -.3-5.11***.1***.11*** (.13) (.) (.15) (.) (.15) Log(iss siz) -.-5 -.14*. -.35***.43 (.3) (.5) (.54) (.3) (.314) Log(bod siz).***..3***.5***.115*** (.11) (.4) (.13) (.13) (.13) O ig dmmy.15***.35**.131***.14*.13*** (.443) (.14) (.4) (.) (.) Costt -.11***.134 -.34***.54 -.4*** (.43) (.11) (.4) (.) (.5) Obsvtios,34 3,413 3,1 1, 1,3 R-sqd..33.1.34.
1 Tbl 4.4: vg di i Bid-sk ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tl tig This tbl shows slts fom th odiy lst sqs gssio of th Bid-sk ms o isd dmmy Bidski = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Bidski sts th bid-sk ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.135*** -.1.15*** -.11.1*** (.34) (.54) (.45) (.54) (.5) Log(mtity).***.13***.***.43***.*** (.1) (.5) (.1) (.1) (.13) Siz dmmy.1***.1***.15***.14***.15*** (.135) (.) (.14) (.13) (.1) Tim otstdig.15***..13***.4***.1*** (.151) (.11) (.14) (.3) (.1) Log(iss siz) -4.4-5.345 -.5-5.144-4.33-5 (.1) (.31) (.13) (.) (.) Log(bod siz).144***.34*.154***.441***.1*** (.11) (.1) (.1) (.144) (.134) O ig dmmy.11***.5**.15***.151**.1*** (.3) (.11) (.44) (.) (.51) Costt -.5*** -.13** -.*** -.13*** -.3*** (.343) (.55) (.33) (.3) (.44) Obsvtios,4 3,34 4,3,,3 R-sqd.33.3.4.34.
11 Tbl 4.4: vg di i Bid-sk ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bods with tl tig This tbl shows slts fom th odiy lst sqs gssio of th Bid-sk ms o isd dmmy Bidski = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Bidski sts th bid-sk ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.15**.14.1**.1***.133 (.) (.1) (.) (.1) (.114) Log(mtity).31***.1***.344***.1***.3*** (.3) (.33) (.354) (.1) (.431) Siz dmmy.13***.3**.1***.1***.13*** (.4) (.33) (.4) (.) (.33) Tim otstdig.11***.1.15***.13**.11*** (.411) (.15) (.44) (.5) (.554) Log(iss siz).15.4.145.35 -.3 (.3) (.4) (.433) (.3) (.554) Log(bod siz).14***.133.154***.***.1*** (.15) (.1) (.31) (.15) (.) O ig dmmy -.1* -.34 -.1*.3 -.4*** (.1) (.14) (.11) (.1) (.143) Costt -.31*** -.1 -.31*** -.*** -.1*** (.54) (.1) (.) (.) (.5) Obsvtios 14,14 1, 1,35 4,,454 R-sqd.334.4.311.45.3
1 Tbl 4.5: E t of hg i is stts o th Bid-sk ms with tim otols This tbl shows slts fom th di i di gssio blow: Bidsk i,j = 1 Isd + PEvt Isd + 3 PEvt+ X i,j + X i,j PEvt+ s s PEvt+ s s + t t + i,j wh Bidsk i,j sts th bid-sk ms fo miil bod i, issd by iss j. PEvt is 1 if dt of ms is bfo th giv vt, d X i,j is vto of k stdd otols, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t vt. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is sig th stok i do of th iss s th vt. Sifitio is sig th dowgd of th iss s th vt. Stok Do Rtigs Dowgd isdtil -.43* 1.-5 (.) (.333) dowgd -.14*** (.5) stok.13*** (.) Is t.11***.15*** (.44) (.31) Log(mtity).4***.*** (.-5) (.1-5) Siz dmmy.11***.1*** (.-5) (.4-5) Tim otstdig.114***.1*** (.4-5) (.5-5) Log(iss siz).1**.14*** (.3-5) (.-5) Log(bod siz).1***.1*** (.3-5) (.-5) O ig dmmy.1***.1*** (.1) (.1) Costt -.3*** -.31*** (.1) (.1) Obsvtios 1, 1, R-sqd.3.
13 Tbl 4.51: E t of hg i is stts o th Bid-sk ms with tim otols, iss otols, dlyig tig dmmis, d otols This tbl shows slts fom th di i di gssio blow: Bidsk i,j = 1 Isd + PEvt Isd + 3 PEvt+ X i,j + X i,j PEvt+ s s PEvt+ s s + t t + i,j wh Bidsk i,j sts th tov ms fo miil bod i, issd by iss j. PEvt is 1 if dt of ms is bfo th giv vt, d X i,j is vto of k stdd otols, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t vt. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is sig th stok i do of th iss s th vt. Sifitio is sig th dowgd of th iss s th vt. Stok Do Rtigs Dowgd isdtil -.53 -.-5 (.4) (.3) Is t.13***.15*** (.) (.35) Log(mtity).31***.31*** (.1) (.1) Siz dmmy.13***.14*** (.13) (.13) Tim otstdig.1***.11*** (.1) (.1) Log(iss siz).145 3.33-5 (.131) (.14) Log(bod siz).15***.1*** (.43-5) (.15) O ig dmmy.11***.5*** (.31) (.31) Costt -.13*** -.155*** (.) (.3) Obsvtios 1, 1, R-sqd.3.5
14 Tbl 4.5: vg di i Bid-sk ms btw -td d o -td miil bods with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th Bid-sk ms o dmmy Bidski = 1 + Xi,k + Iss Iss + s s + t t + i wh Bidski sts th Bid-sk ms fo miil bod i, is o if bod i hs tl tig of d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd t.1***.445***.4***.3***.4 (.) (.435) (.34) (.) (.4) Log(mtity).***.14***.31***.55***.31*** (.45-5) (.1) (.14) (.1) (.134) Siz dmmy.15***.15***.13***.14***.13*** (.33-5) (.1) (.13) (.1) (.1) Tim otstdig.15***.13.15***.144***.144*** (.1) (.11) (.11) (.13) (.131) Log(iss siz).1 1.4-5.3*.13.15 (.1) (.) (.141) (.15) (.1) Log(bod siz).13***.31**.14***.4***.15*** (.-5) (.1) (.5-5) (.4-5) (.1) O ig dmmy.3***.5***.*.11**.53 (.33) (.33) (.3) (.511) (.435) Costt -.*** -.3 -.3*** -.13*** -.3*** (.33) (.545) (.) (.311) (.3) Obsvtios 1,,5,3 4,31 4,5 R-sqd.1.3..3.
15 Tbl 4.53: vg di i Tov ms btw isd d isd miil bods with otols d tim fixd ts This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o isd dmmy, otols d tim fixd ts Tovi = 1 Isd + Xi,k + s s + t t + i wh Tovi sts th Tov liqidity ms fo miil bod i, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t -.33*** -.53*** -.31*** -.4*** -.3*** (.3) (.41) (.55) (.354) (.5) Log(mtity) -.13.43*** -.**.3*** -.13*** (.5) (.33) (.5) (.5) (.33) Siz dmmy -.1*** -.55*** -.14*** -.4*** -.1*** (.15) (.3) (.34) (.) (.) Tim otstdig -.35*** -.1*** -.315*** -.1*** -.*** (.13) (.44) (.11) (.54) (.5-5) Log(iss siz) -.115*** -.11*** -.1*** -.13*** -.13*** (.1) (.3) (.34) (.3) (.) Log(bod siz).3***.1***.53***.3***.51*** (.13) (.31) (.14) (.35) (.145) O ig dmmy -.3*** -.1*** -.311*** -.54*** -.3*** (.4) (.4) (.) (.) (.313) Costt.14***.1***.14***.15***.13*** (.31) (.3) (.34) (.) (.41) Obsvtios 5,4 14,14 54,5 3,43,53 R-sqd.4.1.3.11.33
1 Tbl 4.54: vg di i Tov ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o isd dmmy Tovi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Tovi sts th Tov ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t -.13*** -.*** -.11*** -.34*** -.1*** (.31) (.4) (.3) (.) (.5) Log(mtity).15.43*** -.5.354*** -.33*** (.53) (.) (.) (.33) (.3) Siz dmmy -.1*** -.1*** -.13*** -.14*** -.14*** (.1) (.) (.15) (.5) (.3) Tim otstdig -.3*** -.43*** -.*** -.41*** -.53*** (.1) (.51) (.11) (.3) (.3-5) Log(iss siz) -.111*** -.155*** -.13*** -.134*** -.1*** (.5) (.5) (.4) (.44) (.4) Log(bod siz).3***.115***.55***.1***.54*** (.153) (.3) (.15) (.3) (.1) O ig dmmy -.453*** -.4*** -.3*** -.5*** -.3*** (.4) (.13) (.41) (.) (.34) Costt.141***.145***.1***.14***.131*** (.31) (.1) (.35) (.) (.31) Obsvtios 5,4 14,14 54,5 3,43,53 R-sqd.11.35.1.1.15
1 Tbl 4.55: vg di i Tov ms btw isd d isd miil bods with iss fixd ts, tim fixd ts, dlyig tig dmmis d otols This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o isd dmmy Tovi = 1 Isd + i + 3 i + 4 BBB +i + Xi,k + Iss Iss + s s + t t + i wh Tovi sts th Tov ms fo miil bod i, Isd is o if bod i is isd d zo othwis, i is o if bod i is -td d zo othwis, i is o if bod i is -td d zo othwis, BBB+i is o if bod i is BBB+-td d zo othwis. Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t -.14*** -.3*** -.1*** -.33*** -.11*** (.3) (.1) (.333) (.4) (.) Log(mtity).1.44*** -.4.355*** -.34*** (.53) (.) (.) (.3) (.3) Siz dmmy -.1*** -.1*** -.13*** -.14*** -.14*** (.1) (.) (.15) (.5) (.3) Tim otstdig -.3*** -.43*** -.*** -.41*** -.5*** (.1) (.5) (.111) (.3) (.3-5) Log(iss siz) -.111*** -.154*** -.1*** -.133*** -.*** (.51) (.) (.43) (.43) (.4) Log(bod siz).3***.11***.55***.1***.54*** (.153) (.31) (.15) (.3) (.1) O ig dmmy -.44*** -.1*** -.34*** -.544*** -.3*** (.4) (.14) (.4) (.) (.35) Costt.14***.14***.1***.13***.13*** (.3) (.1) (.35) (.) (.34) Obsvtios 5,4 14,14 54,5 3,43,53 R-sqd.11.35.1.1.15
1 Tbl 4.5: Th vg t of h is o liqidity s msd by th Tov ms with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o dmmy fo h is Tovi = 1 mb + ssd + 3 BI+ Xi,k + Iss Iss + s s + t t + i wh Tovi sts th sd to tsy fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd mb t -.15*** -.3*** -.13*** -.43*** -.*** (.3) (.11) (.3) (.) (.5) BI t -.31*** -.43*** -.31*** -.*** -.3*** (.413) (.1) (.431) (.1) (.3) ssd t -.14*** -.*** -.14*** -.33*** -.135*** (.353) (.14) (.34) (.1) (.5) Log(mtity)..5*** -.13.34*** -.*** (.) (.55) (.4) (.3) (.4) Siz dmmy -.1*** -.1*** -.11*** -.15*** -.14*** (.14) (.4) (.1) (.) (.1) Tim otstdig -.*** -.44*** -.5*** -.4*** -.43*** (.14) (.445) (.111) (.4) (.3-5) Log(bod siz).***.115***.535***.***.44*** (.13) (.343) (.14) (.54) (.14) O ig dmmy -.35*** -.5*** -.31*** -.33*** -.333*** (.35) (.11) (.3) (.) (.353) Costt.135***.14***.14***.1***.1*** (.34) (.1) (.33) (.5) (.35) Obsvtios 1,13,13 1,33,35 43,3 5,43 R-sqd.11.341.1.15.15
1 Tbl 4.5: vg di i Tov ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bod with tig This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o isd dmmy Tovi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Tovi sts th Tov ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t -.14*** -.4*** -.14*** -.44*** -.*** (.4) (.13) (.4) (.13) (.33) Log(mtity).1.4*** -.131.355*** -.5*** (.) (.41) (.1) (.1) (.14) Siz dmmy -.13*** -.1*** -.13*** -.4*** -.14*** (.14) (.41) (.3) (.41) (.11) Tim otstdig -.1*** -.341*** -.3*** -.3*** -.5*** (.14) (.4) (.5) (.5) (.13) Log(iss siz) -.111*** -.143*** -.14*** -.11*** -.14*** (.3) (.115) (.3) (.) (.3) Log(bod siz).34***.14***.5***.3***.53*** (.1) (.555) (.1) (.4) (.1) O ig dmmy -.4*** -.3** -.44*** -.4* -.453*** (.43) (.3) (.5) (.4) (.) Costt.141***.145***.13***.13***.135*** (.51) (.1) (.5) (.11) (.544) Obsvtios 45,34 1,4 44,5 14,43 34, R-sqd.14.35.15.1.5
13 Tbl 4.5: vg di i Tov ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bod with tig This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o isd dmmy Tovi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Tovi sts th Tov ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t -. -.3*** -.51 -.4 -.15* (.4) (.1) (.) (.1) (.1) Log(mtity) -.513.4*** -.14.31*** -.4 (.1) (.5) (.1) (.3) (.153) Siz dmmy -.11*** -.*** -.1*** -.*** -.13*** (.45) (.5) (.4) (.44) (.1) Tim otstdig -.*** -.** -.*** -.35*** -.5*** (.4) (.1) (.) (.5) (.3) Log(iss siz) -.1*** -.14*** -.3*** -.14*** -.4*** (.535) (.14) (.555) (.1) (.) Log(bod siz).***.13***.51***.1***.45*** (.514) (.1) (.5) (.51) (.1) O ig dmmy -.53*** -.1*** -.454*** -.*** -.44*** (.4) (.5) (.4) (.1) (.5) Costt.13***.14***.13***.15***.111*** (.3) (.1) (.4) (.141) (.) Obsvtios 51,34 3,3 1,3,1 15,131 R-sqd.15.354.15.5.154
131 Tbl 4.5: vg di i Tov ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bod with tl tig This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o isd dmmy Tovi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Tovi sts th Tov ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t -.1*** -.1*** -.34*** -.5*** -.3*** (.43) (.13) (.) (.11) (.55) Log(mtity).***.4***.***.3*** -3.-5 (.14) (.3) (.14) (.) (.154) Siz dmmy -.15*** -.1*** -.14*** -.1*** -.13*** (.11) (.33) (.1) (.3) (.) Tim otstdig -.13*** -.315*** -.1*** -.*** -.*** (.111) (.54) (.11) (.3) (.14) Log(iss siz) -.*** -.13*** -.4*** -.114*** -.4*** (.4) (.11) (.31) (.5) (.34) Log(bod siz).53***.1***.4***.13***.41*** (.1) (.453) (.1) (.31) (.14) O ig dmmy -.3*** -.4*** -.1*** -.41*** -.1*** (.41) (.1) (.4) (.11) (.31) Costt.1***.13***.11***.15***.115*** (.43) (.1) (.1) (.11) (.5) Obsvtios 45,51 1,14 3,33 1,,14 R-sqd.1..5.5.4
13 Tbl 4.: vg di i Tov ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bod with tl tig This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o isd dmmy Tovi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Tovi sts th Tov ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.45 -.15 -.13-5.134 -.4* (.535) (.1) (.55) (.1) (.453) Log(mtity) -.1.4*** -.433*.41*** -.*** (.45) (.5) (.55) (.1) (.11) Siz dmmy -.14*** -.4*** -.14*** -.13*** -.151*** (.3) (.531) (.51) (.5) (.) Tim otstdig -.31*** -.3*** -.*** -.4*** -.1*** (.15) (.113) (.1) (.14) (.15) Log(iss siz) -.11*** -.1*** -.11*** -.14*** -.11*** (.3) (.1) (.34) (.) (.414) Log(bod siz).33***.14***.35***.11***.5*** (.1) (.44) (.1) (.3) (.) O ig dmmy -.31*** -.3** -.*** -.41 -.55*** (.11) (.) (.114) (.) (.4) Costt.14***.113***.13***.15***.14*** (.5) (.1) (.54) (.1) (.1) Obsvtios 33,15 3,13 33,51,5,53 R-sqd.14.3.14.1.31
133 Tbl 4.1: vg di i Tov ms btw isd d isd miil bods with iss fixd ts, tim fixd ts d otols fo bod with tl tig This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o isd dmmy Tovi = 1 Isd + Xi,k + Iss Iss + s s + t t + i wh Tovi sts th Tov ms fo miil bod i, Isd is o if bod i is isd d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd Is t.44***..11***..11 (.3) (.4) (.55) (.) (.) Log(mtity) -.1.4*** -.15.45*** -. (.11) (.) (.1) (.5) (.4) Siz dmmy -.13*** -.13*** -.1*** -.13*** -.144*** (.1) (.4) (.14) (.4) (.15) Tim otstdig -.354*** -.*** -.33*** -.5*** -.*** (.33) (.) (.34) (.145) (.344) Log(iss siz) -.1*** -.5*** -.1*** -.1*** -.*** (.5) (.1) (.) (.1) (.14) Log(bod siz).***.31***.3***.151***.53*** (.) (.13) (.4) (.41) (.1) O ig dmmy -.*** -.1*** -.*** -.131*** -.*** (.1) (.4) (.11) (.11) (.1) Costt.151***.151***.13***.14***.143*** (.11) (.33) (.1) (.) (.11) Obsvtios 143, 1,1 13,4 41,45 11,1 R-sqd.1.44.15.35.154
134 Tbl 4.: E t of hg i is stts o Tov with tim otols This tbl shows slts fom th di i di gssio blow: Tov i,j = 1 Isd + PEvt Isd + 3 PEvt+ X i,j + X i,j PEvt+ s s PEvt+ s s + t t + i,j wh Tov i,j sts th tov ms fo miil bod i, issd by iss j. PEvt is 1 if dt of ms is bfo th giv vt, d X i,j is vto of k stdd otols, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t vt. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is sig th stok i do of th iss s th vt. Sifitio is sig th dowgd of th iss s th vt. Stok Do Rtigs Dowgd isdtil -.** -.5** (.3) (.5) dowgd.5*** (.113) stok.13*** (.355) Is t -.335*** -.3*** (.43) (.41) Log(mtity) -.** -.13 (.3) (.5) Siz dmmy -.15*** -.1*** (.33) (.15) Tim otstdig -.314*** -.3*** (.11) (.1) Log(iss siz) -.1*** -.115*** (.) (.1) Log(bod siz).55***.3*** (.14) (.13) O ig dmmy -.4*** -.3*** (.4) (.4) Costt.13***.14*** (.34) (.31) Obsvtios 5,4 5,4 R-sqd.5.4
135 Tbl 4.3: E t of hg i is stts o Tov with tim otols, iss otols, dlyig tig dmmis d otols This tbl shows slts fom th di i di gssio blow: Tov i,j = 1 Isd + PEvt Isd + 3 PEvt+ X i,j + X i,j PEvt+ s s PEvt+ s s + t t + i,j wh Tov i,j sts th tov ms fo miil bod i, issd by iss j. PEvt is 1 if dt of ms is bfo th giv vt, d X i,j is vto of k stdd otols, Isd is o if bod i is isd d zo othwis, s is st of stt otols, t is st of tim otols, d i is o tm. Eh sifitio, is di t vt. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is sig th stok i do of th iss s th vt. Sifitio is sig th dowgd of th iss s th vt. Stok Do Rtigs Dowgd isdtil -.13*** -.1 (.4) (.4) stok.15*** (.333) dowgd.3*** (.4) Is t -.15*** -.1*** (.31) (.4) Log(mtity) -.41 -.4*** (.) (.) Siz dmmy -.13*** -.14*** (.15) (.3) Tim otstdig -.5*** -.*** (.1) (.4-5) Log(iss siz) -.1*** -.5*** (.4) (.4) Log(bod siz).553***.45*** (.154) (.15) O ig dmmy -.44*** -.44*** (.45) (.45) Costt.131***.1*** (.3) (.3) Obsvtios 5,4 5,4 R-sqd.13.13
13 Tbl 4.4: vg di i Tov ms btw -td d o -td miil bods with iss fixd ts, tim fixd ts d otols This tbl shows slts fom th odiy lst sqs gssio of th Tov ms o dmmy Tovi = 1 + Xi,k + Iss Iss + s s + t t + i wh Tovi sts th Tov ms fo miil bod i, is o if bod i hs tl tig of d zo othwis, Iss is fixd t otollig fo iss sifi ts, s is st of stt otols, t is st of tim otols, Xi,k is vto of k stdd miil bod otols, d i is o tm. Eh sifitio, is di t tim iod. Stdd os lstd by si show i thss. *, **, d *** dot sigifi t th 1%, 5%, d 1% lvl, stivly. Sifitio 1 is th fll sml fom y to Dmb. Sifitio ovs th tim iod bfo th iss stok i fll fom y to. Sifitio 3 is ft th iss stok i fll to th d of th tim iod fom ly to Dmb. Sifitio 4 is th tim iod til th iss w dowgdd fom y to y. Sifitio 5 ovs th tim iod ft th is dowgd fom to Dmb. Fll Sml P Stok Do Post Stok Do P Dowgd Post Dowgd t -.545*** -.13*** -.3*** -.14*** -.35*** (.11) (.413) (.11) (.331) (.13) Log(mtity)..5*** -.1.3*** -.*** (.5) (.) (.5) (.35) (.3) Siz dmmy -.14*** -.1*** -.1*** -.5*** -.145*** (.1) (.3) (.15) (.54) (.3) Tim otstdig -.5*** -.33*** -.*** -.354*** -.55*** (.1-5) (.51) (.1-5) (.3) (.5-5) Log(iss siz) -.11*** -.155*** -.1*** -.133*** -.*** (.51) (.3) (.4) (.45) (.4) Log(bod siz).45***.11***.5***.4***.5*** (.153) (.3) (.15) (.) (.1) O ig dmmy -.455*** -.5*** -.3*** -.5*** -.34*** (.44) (.14) (.45) (.) (.33) Costt.13***.13***.1***.134***.131*** (.34) (.1) (.354) (.) (.3) Obsvtios 5,4 14,14 54,5 3,43,53 R-sqd.1.3.1.14.15
.1: ositiv mihd ms sts ds i liqidity. Th vtil li st th dt of th stok i do. Dshd lis st th 5% ofid itvl. 13
.11: ositiv Bid-sk ms sts ds i liqidity. Th vtil li st th dt of th stok i do. Dshd lis st th 5% ofid itvl. 13
.1: ositiv Tov ms sts is i liqidity. Th vtil li st th dt of th stok i do. Dshd lis st th 5% ofid itvl. 13
.13: ositiv mihd ms sts ds i liqidity. Gh ilds dlyig tig otols. il li st th dt of th iss stok i do. Dshd lis st th 5% ofid itvl. 14
.14: ositiv Bid-sk ms sts ds i liqidity. Gh ilds dlyig tig otols. il li st th dt of th iss stok i do. Dshd lis st th 5% ofid itvl. 141
.15: ositiv Tov ms sts is i liqidity. Gh ilds dlyig tig otols. il li st th dt of th iss stok i do. Dshd lis st th 5% ofid itvl. 14
143 4.3 Thid ht Tbl 4.5: Dsitiv Sttistis of dt i h idx Idx Cot Coo (i Pt) tity (i Ys) Bod Siz (i $) kt Wid 33,13 4.33 1.4 4,5,53.5 (1.1) (.13) (3,531,13.) 41,35 4.3 1. 4,5,. (1.) (.1) (14,1,5.) 1,533 4.3.3 5,44,45. (1.13) (.1) (,34,.), 4.31 1.5 5,55. (1.) (.) (,3,.) BBB+ 5, 4.5 11. 4,4,13.4 (1.1) (.5) (1,.) GO 155, 4.1. 3,5,415.3 (1.3) (5.) (,,1.) NoGo 1,3 4.45 1.5 5,,1. (1.) (.5) (1,3,15.) Isd 3, 4.3 1.5 3,4,.3 (1.1) (.1) (13,54,5.4) Uisd 134,1 4.3 1.,13,.3 (1.1) (.3) (34,4435.3) Clifoi 3,31 4.5 11.4 5,4,3.3 (1.1) (.) (,433,1.3) Nw Yok,13 4.5 1.43,13,3.5 (.3) (.) (,,3.) 5 Y tity 14, 4.1 5.34 3,,1. (1.1) (1.54) (13,4,3.) 1 Y tity 15,54 4.44 11.1 4,15,3.5 (1.1) (.11) (1,,35.) Y tity 4,44 4.5 1.5,55,5.5 (1.) (.) (3,11,5.) 3 Y tity 1,555 4.3. 31,51,55. (1.4) (3.11) (,1,13.)
144 Tbl 4.: Stt Comositio by h idx (i t of totl bods) Idx Clifoi Nw Yok Txs Oth kt Wid 1.1.3 13.5.1 1..1 14. 5.3 15....1..1.3 54. BBB+ 5..4 1. 4.3 GO 1..5 15.4 5. NoGo 1.3. 1. 3. Isd.. 11. 5 Uisd.4. 1.. Clifoi 1 Nw Yok 1 5Ytity 15.3. 11. 5.4 1 Y tity 1..4 13. 1.3 Y tity 1.1 1 55. 3 Y tity 4.. 13. 54.3 Tbl 4.: Comositio fo h idx by v so Idx Gl Obligtio No Gl Obligtio kt Wid 41. 5. 3..4 43.3 5. 35. 4.3 BBB+ 3..1 GO 1 NoGo 1 Isd 4.1 5. Uisd 41. 5. Clifoi 44.5 55.5 Nw Yok 3.4. 5Ytity 4.3 5. 1 Y tity 4.3 5. Y tity 3..3 3 Y tity 1.3.
145 Tbl 4.: Comositio of h idx by tig (i t) Idx BBB+ kt Wid 53. 15.3 1.1 1 1 1 BBB+ 1 GO 4.1 3. 15.4 1 NoGo 55..1 15. 1. Isd. 1. 1 1.1 Uisd 35. 4 1. 1.1 Clifoi 5. 1.3 3. 1. Nw Yok 5.1. 1. 1. 5Ytity 53. 3. 13.1. 1 Y tity 54.3. 14.4 1 Y tity 51.1.5 1. 1.3 3 Y tity 44..3 1..1 Tbl 4.: Dsitiv Sttistis of h idx Idx Stdd Dvitio i x kt Wid 33.4 3. 1.5 35.1.4 1. 34.5.4 1 5.5 333.3 BBB+ 11.1.3.3 GO 34.4. 1.3 NoGo 34.3 41. 14. Isd 34. 43.. Uisd 34. 5.5 154.1 Clifoi 3.5 5.3.1 Nw Yok 3.5 13.1 5Ytity 41. 1. 15. 1 Y tity 35.3 4.. Y tity 5. 4. 3.3 3 Y tity.4 5.3 43.4
14 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls iil Bod kt Idx Clltd Usig iil Bod Yilds fom -
14 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls GO Idx Clltd Usig iil Bod Yilds fom -
14 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls NONGO Idx Clltd Usig iil Bod Yilds fom -
14 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls Idx Clltd Usig iil Bod Yilds fom -
15 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls Idx Clltd Usig iil Bod Yilds fom -
151 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls Idx Clltd Usig iil Bod Yilds fom -
15 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls BBB Idx Clltd Usig iil Bod Yilds fom -
153 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls Isd Idx Clltd Usig iil Bod Yilds fom -
154 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls Uisd Idx Clltd Usig iil Bod Yilds fom -
155 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls Clifoi Idx Clltd Usig iil Bod Yilds fom -
15 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls NEW YORK Idx Clltd Usig iil Bod Yilds fom -
15 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls 5 Idx Clltd Usig iil Bod Yilds fom -
15 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls 1 Idx Clltd Usig iil Bod Yilds fom -
15 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls Idx Clltd Usig iil Bod Yilds fom -
1 Tim F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D F b y l g S O t N o v D Rt Sls 3 Idx Clltd Usig iil Bod Yilds fom -
11 Tbl 4.: Coltio tbls with t sls idis kt Wid BBB+ GO NONGO Isd kt Wid 1...3..... 1..5. 1.1... 1.54.3 1...3.5.54 1..51.4.5 BBB+...3. 1 -..43.4 GO. 1 1.51 -. 1.. NONGO..1..4.43. 1 1 Isd....5.4. 1 1 Uisd.3...45 -. 1.5.3 Clifoi..1..5..5.. Nw Yok....3.14..5.3 5 Y tity.3..4.4 -..5.1. 1 Y tity..1..3.3.. 1 Y tity.5.3.3.5..33.3.5 3 Y tity.4.1.1...15.5.1 Uisd C NY 5 Y 1 Y Twty Y Thity Y kt Wid.3...3..5.4..1...1.3.1....4..3.1.45.5.3.4.3.5. BBB+ -...14 -..3.. GO 1.5..5..33.15 NONGO.5..5.1..3.5 Isd.3..3. 1.5.1 Uisd 1.53...5.. Clifoi.53 1..34..3. Nw Yok.. 1..4.4. 5 Y tity..34. 1.1.4 -.14 1 Y tity.5..4.1 1.1.5 Y tity..3.4.4.1 1. 3 Y tity... -.14.5. 1
1 Tbl 4.1: Coltio tbls with S&P S&P kt S&P GO S&P Rv S&P C S&P NY kt Wid -. -.4 -. -. -. -.1 -.3 -.5 -. -.4 -. -.3 -.5 -. -.4 -.44 -.1 -.1 -.4 -.3 BBB+ -..5 -. -.1. GO -. -.5 -.54 -. -.5 NONGO -. -.3 -.4 -.5 -.3 Isd -.4 -. -.5 -.4 -.1 Uisd -. -. -.51 -. -.5 Clifoi -.5 -. -. -.5 -.44 Nw Yok -. -. -.3 -. -.3 5 Y tity -. -. -.35 -. -. 1 Y tity -.4 -.3 -. -.4 -.1 Y tity -.33 -. -.1 -.3 -. 3 Y tity -..13 -.5 -. -. S&P Iv. Gd S&P k S&P Isd S&P ST S&P LT kt Wid -..4 -.1 -. -.5 -.4. -. -.4 -.4 -.4. -. -. -.4 -.3 -.53 -.44. -.1 BBB+.1 -. -..4.4 GO -.5.3 -. -. -. NONGO -.4 -.13 -. -.4 -.4 Isd -. -.1 -.5 -.4 -.1 Uisd -.5.3 -. -. -. Clifoi -.4 -.53 -.5 -. -. Nw Yok -.3.1 -. -. -.1 5 Y tity -.1.5 -. -. -. 1 Y tity -. -.1 -.5 -.45 -.4 Y tity -.5 -.1 -.33.3 -.3 3 Y tity -.1 -. -..3.13
13 Tbl 4.: Coltio tbls with Bod By Bod By GO Bod By 11 GO Bod By 5 Rv kt Wid.3.4..15.35 -.13.1.3 -.15.4..5 BBB+.5.3. GO.1.3 -.1 NONGO.4.5.4 Isd.4.. Uisd.3.4 -.4 Clifoi...5 Nw Yok.1.3 -.5 5 Y tity -.1.4 -.43 1 Y tity.45.5.3 Y tity...5 3 Y tity... Tbl 4.3: Coltio tbls with oody s 1 1 Comtitiv. kt Wid.3.3.33.4.4.1...1. -.1 -.11.1.5.11.4 -. -.13.1.4..4.. BBB+. -.. -...4 GO.1..1. -.1 -.15 NONGO.4..45... Isd.5.5.4..4.3 Uisd.11..5.5 -. -. Clifoi.4.4.5.5.5. Nw Yok..5..5 -. -.3 5 Y tity -..1 -.15. -.4 -.41 1 Y tity.4..44...5 Y tity.5...3.5. 3 Y tity.3...14..3