In the first chapter, I study flight from liquidity in OTC markets. By extending the search-based OTC market model of Duffie et al. (2007), I show that a liquid security can be priced lower, not higher, than an illiquid security during times of distress. The more liquid security is more prone to fire sales because sellers can quickly find buyers of the liquid security. Fire sales can drive the price of liquid security lower than that of the illiquid security if delay in finding buyers is too costly. I also document empirical evidence of flight from liquidity by examining on-the-run and off-the-run corporate bonds of the same issuers and same credit ratings. Consistent with the model, the prices of liquid on-the-run bonds become lower than those of illiquid off-the-run bonds, following liquidity events including periods of severe mutual fund outflows, downgrades of an issuer’s credit rating, and the 2008 financial crisis. In the second chapter, in contrast to well-documented evidence reported in equity mutual fund studies, I find that fund flows have limited impact on corporate bond prices. I attribute this puzzling finding to liquidity management conducted by corporate bond funds. Such funds’ trading is highly sensitive to cash holdings and market liquidity. On average, they keep more than 15% of their assets in cash or cash-like securities and sell only 72 bps of bond holdings for one percent outflows, instead of selling on a one-for-one basis. Thus, flow-driven price pressure is pronounced only for bonds held by low-cash funds.
본 학위논문은 투자자 자본 흐름에 의해 유발된 거래가 회사채 시장에서 회사채의 가격과 유동성에 어떠한 영향을 미치는지에 대해 종합적으로 분석한다. 첫 번째 장에선 시장에 위기가 왔을 때 투자자 들이 유동성이 높은 채권부터 급매를 하게 되어 사람들의 통념과는 반대로 유동성이 높은 채권이 낮은 채권보다 상대적으로 가격이 더 낮아지게 되는 현상을 이론적으로 분석하고 실증적 증거를 제시한다. 두 번째 장에선 회사채 시장에서의 뮤추얼 펀드에 집중하여 뮤추얼 펀드 투자자의 급매가 회사채 시장을 어떻게 왜곡시키고 가격을 비 효율적으로 만드는지를 살핀다.
