Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds

Gann, Philipp (Juni 2010): Der marktphasenabhängige Einfluss der Liquidität auf die Credit Spreads von Corporate Bonds. Münchener Wirtschaftswissenschaftliche Beiträge (BWL) 2010-7

Abstract

Gegenstand der vorliegenden Studie ist die vertiefte Analyse des marktphasenabhängigen Einflusses der Liquidität auf die Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperioden während verschiedener Kapitalmarktphasen betrachtet. Die erste Untersuchungsperiode bezieht sich auf einen Zeitraum vor Ausbruch der Subprimekrise bzw. der dadurch ausgelösten internationalen Finanzkrise, die zweite Untersuchungsperiode auf einen Zeitraum während der Krise. Es wird zunächst gezeigt, dass eine modelltheoretische Bepreisung von Corporate Bonds auf Basis ratingspezifischer Zinsstrukturkurven zu Bepreisungsfehlern führt, die sich während eines krisenhaften Kapitalmarktumfeldes deutlich vergrößern. Dieses Ergebnis impliziert, dass neben der Restlaufzeit und der Ratingeinschätzung weitere Faktoren existieren, deren Einfluss auf die Marktpreise von Corporate Bonds während Krisenzeiten signifikant zunimmt. Mittels zweier Panelschätzungen wird die Bedeutung eines vom aktuellen Marktumfeld abhängigen Liquiditätsrisikos für diese Beobachtung isoliert. Anhand einer empirischen Dekomposition des Credit Spreads wird gezeigt, dass der absolute und relative Einfluss der Bondliquidität im Zeitablauf variiert und während Krisenzeiten zunimmt. Investoren richten in einem solchen Marktumfeld ihre Aufmerksamkeit verstärkt auf Faktoren, welche die Handelbarkeit einer Anleihe determinieren. Liquidität wird dadurch zu einem wesentlichen bewertungsrelevanten Faktor. Wie die Analyse zeigt, ist dies jedoch nicht ausschließlich auf das durch das Liquiditätsrisiko induzierte Preisrisiko zurückzuführen. Vielmehr beeinflussen in einem krisenhaften Marktumfeld liquiditätsnahe Faktoren das Angebots- und Nachfrageverhalten der Marktteilnehmer und damit die Höhe der Credit Spreads. Dabei wird deutlich, dass die in der Literatur weit verbreiteten indirekten Liquiditätsmaße Emissionsvolumen und Bondalter in Abhängigkeit vom aktuellen Marktumfeld ausgesprochen problematische Liquiditätskonzepte darstellen.

• Dokumententyp: Paper
• Keywords: Liquidität, Credit Spread, Z-Spread, Corporate Bond, Finanzmarktkrise, Subprime-Krise, Svensson-Verfahren, Nelson/Siegel-Verfahren, Spot Rate, Zinsstrukturkurve, Swap Rate, Pricing Error, Credit Spread Puzzle, Emissionsvolumen, Bondalter, On-the-Run, Off-the-Run, Rating, Ratingzusatz, Markov-Eigenschaft, Expected Loss
• Fakultät: Betriebswirtschaft ; Betriebswirtschaft > Diskussionsbeiträge ; Betriebswirtschaft > Diskussionsbeiträge > Finance & Banking
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft
• JEL Classification: G12, G15, G21
• Sprache: Deutsch

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