Shidler Seminar Series: FEI Guest Speaker Tong Yu

Tong Yu

Professor of Finance
Carl H. Lindner College of Business
University of Cincinnati

  • Date: Friday, March 11, 2016
  • Time: 3:00–4:30 PM
  • Location: BusAd D-204

Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market


This paper examines how liquidity and investors' heterogeneous liquidity preferences interact to affect asset pricing. Using data on insurers' corporate bond holdings, we find that the illiquidity of corporate bond portfolios vary widely across insurers but are highly persistent over time. Moreover, portfolio-level illiquidity is related to firm characteristics indicative of insurers' investment horizons and funding constraints, consistent with the notion of liquidity clientele. We further find that liquidity clienteles affect corporate bond prices –specifically, liquidity premia are substantially attenuated among corporate bonds heavily held by investors with a weak preference for liquidity.


Dr. Tong Yu is a Professor of Finance and Insurance in the Lindner College of Business at the University of Cincinnati. His teaching and research interests are on risk management and insurance, asset pricing, and investments of institutional investors. He published works in academic journals such as the Journal of Financial Economics, Journal of Accounting Research, Journal of Financial Intermediation, Journal of Banking and Finance, and Journal of Risk and Insurance. Professor Yu received the Early Career Scholastic Achievement Award from the American Risk and Insurance Association in 2011.