摘要： We examine the impact of individual stock liquidity on corporate bond yield spreads in the U.S. market. By extending the endogenous‐default model to include stock liquidity in the calculation of bond value we show that a drop in stock liquidity will increase the firm's credit risk by increasing the firm's default boundary, leading to an increase of the credit spread. Our model is consistent with the sharp increase in credit risk premiums and the “yield spread spike” phenomenon in corporate bond markets during the financial crisis. We present empirical evidence supportive of our model. 其他題名： The Journal of Financial Research 出版者： Columbia: Blackwell Publishing Ltd 出版日期： 2015-03-01 出處： The Journal of financial research, 2015-03, Vol.38 (1), p.59-91 資源來源： EBSCOhost Business Source Premier 版權： 2015 The Southern Finance Association and the Southwestern Finance Association 識別號： ISSN: 0270-2592 識別號： EISSN: 1475-6803 識別號： DOI: 10.1111/jfir.12052
