한국 회사채의 유동성 프리미엄과 유동성 지표

We investigate whether liquidity is priced in Korean corporate bond markets. If priced, then we examine which liquidity proxies explain the liquidity premium better than others. We use the sample period from January 2000 to May 2010, which is relatively long compared with previous studies on corporate bond liquidity premium. Using OTC transaction data provided by Korean Financial Investment Association, we estimate an extended Fama-French (1993) 2-factor model proposed by Gebhardt (2001), based on Brennan and Subrahmanyam (1996) methodology of liquidity- sorted portfolio. We find the major findings as follows : First, Fama-French(1993) two factors, credit spread and term spread explain Korean corporate bond yields well. Second, rating and maturity, bond characteristics proposed by Gebhardt (2001) have explanatory power in corporate yields that are not explained by the two factors. Third, we find evidence that there exist time-invariant liquiditypremiums of corporate bonds, using liquidity proxies such as turnover ratio, issued amount and trading days ratio. However, we do not find any evidence that the liquidity premiumsare time-varying. Forth, it turns out that turnover ratio and trading day ratio explain the liquidity premiums better than issued amount do. This implies that disseminating information on both bond issuance and trading activities makes market participants get more accurate information on corporate bond liquidity and thus improves the efficiency of price discovery in corporate bond markets.