This paper examines dealer inventory capacity, or liquidity supply, as a driver of liquidity and expected returns in the corporate bond market. We identify shocks to aggregate liquidity supply using data on corporate bond yields and dealer positions. Liquidity supply shocks lead to persistent changes in market liquidity, are correlated with proxies for dealer financial constraints, and have significant explanatory power for cross‐sectional and time‐series variation in expected returns, beyond standard risk factors. Our findings point to liquidity supply by financially constrained intermediaries as a main driver of market liquidity and asset prices.

中文翻译：

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企业债券市场的流动性供给

本文研究了经销商库存能力或流动性供应，作为公司债券市场流动性和预期收益的驱动因素。我们使用公司债券收益率和交易商头寸数据确定总流动性供应的冲击。流动性供应冲击导致市场流动性持续变化，与经销商财务约束的代理人相关，并且对预期收益的横截面和时间序列变化具有超出标准风险因素的重要解释力。我们的研究结果指出，受财务约束的中介机构的流动性供应是市场流动性和资产价格的主要驱动力。