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Comparing possible proxies of corporate bond liquidity

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Cited by:

  1. Thomas Chiang & Jiandong Li & Sheng-Yung Yang, 2015. "Dynamic stock–bond return correlations and financial market uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 59-88, July.
  2. Marielle de Jong & Lauren Stagnol, 2016. "A fundamental bond index including solvency criteria," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 280-294, July.
  3. Miles Livingston & Jie (Diana) Wei & Lei Zhou, 2010. "Moody's and S&P Ratings: Are They Equivalent? Conservative Ratings and Split Rated Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1267-1293, October.
  4. Han-Hsing Lee, 2020. "Distress risk, product market competition, and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 1093-1135, October.
  5. Lauren Stagnol, 2015. "Designing a corporate bond index on solvency criteria," EconomiX Working Papers 2015-39, University of Paris Nanterre, EconomiX.
  6. Brian BARNARD, 2017. "Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures," Expert Journal of Finance, Sprint Investify, vol. 5, pages 49-72.
  7. Anthony, John & Docherty, Paul & Lee, Doowon & Shamsuddin, Abul, 2017. "Liquidity commonality in the secondary corporate loan market," Economics Letters, Elsevier, vol. 161(C), pages 10-14.
  8. Mann, Steven V. & Powers, Eric A., 2007. "Determinants of bond tender premiums and the percentage tendered," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 547-566, March.
  9. Götze, Tobias & Gürtler, Marc, 2020. "Hard markets, hard times: On the inefficiency of the CAT bond market," Journal of Corporate Finance, Elsevier, vol. 62(C).
  10. De Santis, Roberto A., 2016. "Credit spreads, economic activity and fragmentation," Working Paper Series 1930, European Central Bank.
  11. O’Sullivan, Conall & Papavassiliou, Vassilios G., 2020. "On the term structure of liquidity in the European sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 114(C).
  12. Zhao, Yang & Yu, Min-Teh, 2019. "Measuring the liquidity impact on catastrophe bond spreads," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 197-210.
  13. Bada, Oualid & Kneip, Alois, 2010. "Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds," MPRA Paper 26006, University Library of Munich, Germany.
  14. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
  15. Gündüz, Yalin & Ottonello, Giorgio & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2018. "Lighting up the dark: Liquidity in the German corporate bond market," SAFE Working Paper Series 230, Leibniz Institute for Financial Research SAFE.
  16. Vahidreza Yousefi & Siamak Haji Yakhchali & Jolanta Tamošaitienė, 2019. "Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates," Administrative Sciences, MDPI, vol. 9(1), pages 1-14, February.
  17. Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009. "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
  18. Corey Garriott & Sophie Lefebvre & Guillaume Nolin & Francisco Rivadeneyra & Adrian Walton, 2020. "Alternative futures for Government of Canada debt management," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(4), pages 659-685, January.
  19. Kagraoka, Yusho, 2005. "Corporate bond liquidity and matrix pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 158-164.
  20. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2012. "Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises," Journal of Financial Economics, Elsevier, vol. 105(1), pages 18-36.
  21. Nguyen, Minh, 2020. "Collateral haircuts and bond yields in the European government bond markets," International Review of Financial Analysis, Elsevier, vol. 69(C).
  22. Haesen, Daniel & Houweling, Patrick & van Zundert, Jeroen, 2017. "Momentum spillover from stocks to corporate bonds," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 28-41.
  23. Helberg, Stig & Lindset, Snorre, 2016. "Risk protection from risky collateral: Evidence from the euro bond market," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 193-213.
  24. Leal, Diego & Stanhouse, Bryan & Stock, Duane, 2020. "Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  25. Sophie Steins Bisschop & Martijn Boermans & Jon Frost, 2016. "A shock to the system? Market illiquidity and concentrated holdings in European bond markets," DNB Occasional Studies 1401, Netherlands Central Bank, Research Department.
  26. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.
  27. Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2019. "A two-stage estimator for heterogeneous panel models with common factors," Econometrics and Statistics, Elsevier, vol. 11(C), pages 63-82.
  28. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
  29. Audzeyeva, Alena & Schenk-Hoppé, Klaus Reiner, 2010. "The role of country, regional and global market risks in the dynamics of Latin American yield spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 404-422, October.
  30. Su, Tong & Lin, Boqiang, 2022. "The liquidity impact of Chinese green bonds spreads," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 318-334.
  31. Guo, Liang, 2013. "Determinants of credit spreads: The role of ambiguity and information uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 279-297.
  32. Lu, Erin P. & Lai, Gene C. & Ma, Qingzhong, 2017. "Organizational structure, risk-based capital requirements, and the sales of downgraded bonds," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 51-68.
  33. Clothilde Lesplingart & Christophe Majois & Mikael Petitjean, 2012. "Liquidity and CDS premiums on European companies around the Subprime crisis," Review of Derivatives Research, Springer, vol. 15(3), pages 257-281, October.
  34. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
  35. Yalin Gündüz & Torsten Lüdecke & Marliese Uhrig-Homburg, 2007. "Trading Credit Default Swaps via Interdealer Brokers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(3), pages 141-159, December.
  36. Díaz, Antonio & Escribano, Ana, 2017. "Liquidity measures throughout the lifetime of the U.S. Treasury bond," Journal of Financial Markets, Elsevier, vol. 33(C), pages 42-74.
  37. Krylova, Elizaveta, 2016. "Determinants of euro-denominated corporate bond spreads," Working Paper Series 1912, European Central Bank.
  38. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
  39. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Staff Reports 961, Federal Reserve Bank of New York.
  40. Samir Kadiric & Arthur Korus, 2019. "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, vol. 16(1), pages 65-102, March.
  41. Anderson, Mike, 2017. "A causal link between bond liquidity and stock returns," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 190-208.
  42. Jochen Güntner & Benjamin Karner, 2023. "The bond agio premium," Economics working papers 2023-13, Department of Economics, Johannes Kepler University Linz, Austria.
  43. Christian Klein & Christoph Stellner, 2014. "The systematic risk of corporate bonds: default risk, term risk, and index choice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 29-61, February.
  44. Raquel M. Gaspar & Patrícia Pereira, 2011. "Liquidity Risk Premia: An Empirical Analysis Of European Corporate Bond Yields," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(2), pages 131-152.
  45. Wolfgang Aussenegg & Lukas Goetz & Ranko Jelic, 2015. "Common Factors in the Performance of European Corporate Bonds – Evidence before and after the Financial Crisis," European Financial Management, European Financial Management Association, vol. 21(2), pages 265-308, March.
  46. Cathy Yi†Hsuan Chen & Thomas C. Chiang, 2016. "Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time†varying Transition Probability Models," European Financial Management, European Financial Management Association, vol. 22(5), pages 749-796, November.
  47. R. Jankowitsch & H. Mosenbacher & S. Pichler, 2006. "Measuring the liquidity impact on EMU government bond prices," The European Journal of Finance, Taylor & Francis Journals, vol. 12(2), pages 153-169.
  48. Simon Gilchrist & Jae W. Sim & Egon Zakrajsek, 2013. "Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(1), pages 159-176, January.
  49. Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).
  50. Kariyawasam Galoluwage Madurika Nanayakkara & Sisira Colombage, 2021. "Does compliance with Green Bond Principles bring any benefit to make G20’s ‘Green economy plan’ a reality?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4257-4285, September.
  51. Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
  52. Kessler, Stephan & Scherer, Bernd, 2011. "Hedge fund return sensitivity to global liquidity," Journal of Financial Markets, Elsevier, vol. 14(2), pages 301-322, May.
  53. Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017. "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series 183, Leibniz Institute for Financial Research SAFE.
  54. João A. C. Santos & Pei Shao, 2023. "Investor Diversity and Liquidity in The Secondary Loan Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(3), pages 249-272, June.
  55. Macnamara Patrick, 2016. "Understanding entry and exit: a business cycle accounting approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 47-91, January.
  56. Boermans, Martijn Adriaan & Frost, Jon & Steins Bisschop, Sophie, 2016. "European bond markets: Do illiquidity and concentration aggravate price shocks?," Economics Letters, Elsevier, vol. 141(C), pages 143-146.
  57. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
  58. Dekker, Lennart & Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Liquidity buffers and open-end investment funds: containing outflows and reducing fire sales," Working Paper Series 2825, European Central Bank.
  59. Jens H. E. Christensen, 2008. "The corporate bond credit spread puzzle," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar14.
  60. De Santis, Roberto A., 2018. "Unobservable country bond premia and fragmentation," Journal of International Money and Finance, Elsevier, vol. 82(C), pages 1-25.
  61. Kedar nath Mukherjee, 2019. "Demystifying Yield Spread on Corporate Bonds Trades in India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 253-284, June.
  62. Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar, 2014. "Did CDS trading improve the market for corporate bonds?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 495-525.
  63. Galariotis, Emilios C. & Krokida, Styliani-Iris & Spyrou, Spyros I., 2016. "Herd behavior and equity market liquidity: Evidence from major markets," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 140-149.
  64. Arthur Akhmetov & Anna Burova & Natalia Makhankova & Alexey Ponomarenko, 2021. "Measuring Market Liquidity and Liquidity Mismatches across Sectors," Bank of Russia Working Paper Series wps82, Bank of Russia.
  65. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  66. Christopher F Baum & Chi Wan, 2009. "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics 724, Boston College Department of Economics, revised 03 Mar 2010.
  67. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
  68. Song Han & Hao Zhou, 2016. "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-49, September.
  69. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
  70. Modena, Matteo & Linciano, Nadia & Gentile, Monica & Fancello, Francesco, 2014. "The liquidity of dual-listed corporate bonds: empirical evidence from Italian markets," MPRA Paper 62479, University Library of Munich, Germany, revised 23 Feb 2015.
  71. Michael Bleaney & Veronica Veleanu, 2017. "Currency risk in corporate bond spreads in the eurozone," Discussion Papers 2017/07, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  72. Zerbib, Olivier David, 2019. "The effect of pro-environmental preferences on bond prices: Evidence from green bonds," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 39-60.
  73. Nguyen, Trang & Alpert, Karen & Faff, Robert, 2021. "Relative bond-stock liquidity and capital structure choices," Journal of Corporate Finance, Elsevier, vol. 69(C).
  74. Vo, Xuan Vinh & Phan, Dang Bao Anh, 2019. "Herding and equity market liquidity in emerging market. Evidence from Vietnam," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
  75. Sussman, Nathan, 2019. "The Financial Development of London in the 17th Century Revisited: A View from the Accounts of the Corporation of London," CEPR Discussion Papers 13920, C.E.P.R. Discussion Papers.
  76. Carolina Castagnetti & Eduardo Rossi, 2013. "Euro Corporate Bond Risk Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 372-391, April.
  77. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
  78. Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012. "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1381-1391.
  79. Robert J. Bianchi & Michael E. Drew & Eduardo Roca & Timothy Whittaker, 2017. "Risk factors in Australian bond returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 373-400, June.
  80. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2014. "To disclose or not to disclose: Transparency and liquidity in the structured product market," CFS Working Paper Series 461, Center for Financial Studies (CFS).
  81. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  82. Anthony Jerome Anderson & Michael Stuart Long, 2017. "Explaining the On-The-Run Puzzle with Corporate Bonds," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-36, June.
  83. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
  84. Santis, Roberto A. De, 2018. "Unobservable systematic risk, economic activity and stock market," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 51-69.
  85. Cifarelli, Giulio & Paladino, Giovanna, 2006. "Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?," Global Finance Journal, Elsevier, vol. 16(3), pages 245-263, March.
  86. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
  87. Simon Gilchrist & Jae W. Sim & Egon Zakrajšek, 2012. "Misallocation and Financial Frictions: Some Direct Evidence From the Dispersion in Borrowing Costs," NBER Working Papers 18550, National Bureau of Economic Research, Inc.
  88. Jianming Kou & Simone Varotto, 2008. "Timeliness of Spread Implied Ratings," European Financial Management, European Financial Management Association, vol. 14(3), pages 503-527, June.
  89. Brian BARNARD, 2018. "Rating Migration and Bond Valuation: Ahistorical Interest Rate and Default Probability Term Structures," Expert Journal of Finance, Sprint Investify, vol. 6(1), pages 16-30.
  90. Fecht, Falko & Füss, Roland & Rindler, Philipp B., 2014. "Corporate Transparency and Bond Liquidity," Working Papers on Finance 1404, University of St. Gallen, School of Finance.
  91. Brian BARNARD, 2017. "Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures," Expert Journal of Finance, Sprint Investify, vol. 5(1), pages 49-72.
  92. de Jong, F.C.J.M. & Driessen, J.J.A.G., 2015. "Can large long-term investors capture illiquidity premiums," Other publications TiSEM 9c92b978-0099-44d3-9aab-8, Tilburg University, School of Economics and Management.
  93. Jens Dick-Nielsen & Jacob Gyntelberg, 2019. "Highly Liquid Mortgage Bonds Using the Match Funding Principle," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-37, December.
  94. Huang, Alan G. & Kalimipalli, Madhu & Nayak, Subhankar & Ramchand, Latha, 2019. "Risk mitigation by institutional participants in the secondary market: Evidence from foreign Rule 144A debt market," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 202-221.
  95. Bada, Oualid & Kneip, Alois, 2010. "Panel Data Models with Unobserved Multiple Time-Varying Effects to Estimate Risk Premium of Corporate Bonds," Bonn Econ Discussion Papers 19/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
  96. Jens H. E. Christensen & Nikola Mirkov, 2021. "The Safety Premium of Safe Assets," Working Paper Series 2019-28, Federal Reserve Bank of San Francisco.
  97. Miles Livingston & Lei Zhou, 2016. "Information Opacity And Fitch Bond Ratings," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(4), pages 329-358, December.
  98. Lando, David & Mortensen, Allan, 2004. "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers 2004-9, Copenhagen Business School, Department of Finance.
  99. Petrasek, Lubomir, 2012. "Multimarket trading and corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2110-2121.
  100. Helwege, Jean & Wang, Liying, 2021. "Liquidity and price pressure in the corporate bond market: evidence from mega-bonds," Journal of Financial Intermediation, Elsevier, vol. 48(C).
  101. Ephraim Clark & Selima Baccar, 2018. "Modelling credit spreads with time volatility, skewness, and kurtosis," Annals of Operations Research, Springer, vol. 262(2), pages 431-461, March.
  102. Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
  103. Bada, Oualid & Kneip, Alois, 2014. "Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 95-115.
  104. Helwege, Jean & Huang, Jing-Zhi & Wang, Yuan, 2014. "Liquidity effects in corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 105-116.
  105. Jung Hsien Chang & Mao Wei Hung, 2010. "Liquidity spreads in the corporate bondmarket: Estimation using a semi-parametric model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(3), pages 359-374.
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