Does ownership concentration affect corporate bond volatility? Evidence from bond mutual funds
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作者:
Huang, Jing-Zhi
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机构:
Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USAPenn State Univ, Smeal Coll Business, University Pk, PA 16802 USA
Huang, Jing-Zhi
[1
]
Wang, Yan
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机构:
McMaster Univ, DeGroote Sch Business, DSB 323,1280 Main St West, Hamilton, ON L8S 4L8, CanadaPenn State Univ, Smeal Coll Business, University Pk, PA 16802 USA
Wang, Yan
[2
]
Wang, Ying
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机构:
SUNY Albany, Massry Sch Business, BB 365, Albany, NY 12222 USA
SUNY Albany, Ctr Inst Investment Management, BB 365, Albany, NY 12222 USAPenn State Univ, Smeal Coll Business, University Pk, PA 16802 USA
Wang, Ying
[3
,4
]
机构:
[1] Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA
[2] McMaster Univ, DeGroote Sch Business, DSB 323,1280 Main St West, Hamilton, ON L8S 4L8, Canada
[3] SUNY Albany, Massry Sch Business, BB 365, Albany, NY 12222 USA
[4] SUNY Albany, Ctr Inst Investment Management, BB 365, Albany, NY 12222 USA
Excess corporate bond volatility;
Ownership concentration;
Corporate bond illiquidity;
Corporate bond mutual funds;
Liquidity shocks;
Price fragility;
CASH FLOW VOLATILITY;
INSTITUTIONAL INVESTORS;
CROSS-SECTION;
ILLIQUIDITY;
LIQUIDITY;
RETURNS;
MARKET;
INVESTMENT;
FRAGILITY;
CREDIT;
D O I:
10.1016/j.jbankfin.2024.107217
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
This paper examines the link between ownership concentration and corporate bond volatility. We show that more concentrated mutual fund ownership is associated with higher volatility of corporate bonds. This relation is stronger among more illiquid bonds, during periods of heightened bond market illiquidity, and among bonds held by corporate bond funds that invest in more illiquid bonds and experience higher or more correlated liquidity shocks. Using a sample of mutual fund mergers, we further show that increases in bond volatility are unlikely to be driven entirely by the endogenous ownership structure of corporate bonds. Our findings suggest that the concentrated ownership by corporate bond mutual funds provides another channel, apart from illiquidity, to help explain the excess volatility in corporate bonds.
机构:
McMaster Univ, DeGroote Sch Business, 1280 Main St West, Hamilton, ON L8S 4M4, CanadaMcMaster Univ, DeGroote Sch Business, 1280 Main St West, Hamilton, ON L8S 4M4, Canada
Chamberlain, Trevor W.
Zhang, Zehua
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机构:
Hunan Univ, Ctr Econ Finance & Management Studies, Changsha, Hunan, Peoples R ChinaMcMaster Univ, DeGroote Sch Business, 1280 Main St West, Hamilton, ON L8S 4M4, Canada
Zhang, Zehua
Zhao, Ran
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机构:
Univ Liverpool, Sch Management, Chatham Bldg,Chatham St, Liverpool L69 7ZH, EnglandMcMaster Univ, DeGroote Sch Business, 1280 Main St West, Hamilton, ON L8S 4M4, Canada
Zhao, Ran
Zhu, Lu
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机构:
Calif State Univ Long Beach, Coll Business, 1250 Bellflower Blvd, Long Beach, CA 90840 USAMcMaster Univ, DeGroote Sch Business, 1280 Main St West, Hamilton, ON L8S 4M4, Canada