Starjournal Quotation Friewald, Nils, Jankowitsch, Rainer, Subrahmanyam, Marti. 2012. Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market During Financial Crises. Journal of Financial Economics, 105 (1), 18-36.


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Abstract

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide range of liquidity measures and find that liquidity effects account for approximately 14% of the explained market-wide corporate yield spread changes. We conclude that the economic impact of the liquidity measures is significantly larger in periods of crisis, and for speculative grade bonds.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Financial Economics
Citation Index SSCI
WU Journalrating 2009 A+
Starjournal Y
Language English
Title Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market During Financial Crises
Volume 105
Number 1
Year 2012
Page from 18
Page to 36
Reviewed? Y
DOI http://dx.doi.org/10.1016/j.jfineco.2012.02.001
Open Access N

Associations

Projects
Price Dispersion in OTC Markets and Corporate Bond Liquidity
People
Friewald, Nils (Former researcher)
Jankowitsch, Rainer (Details)
External
Subrahmanyam, Marti (New York University, United States/USA)
Organization
Institute for Finance, Banking and Insurance IN (Details)
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