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Dynamic Effects of Idiosyncratic Volatility and Liquidity on Corporate Bond Spreads · Study

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ArticleDynamic Effects of Idiosyncratic Volatility and Liquidity on Corporate Bond Spreads

Madhu Kalimipalli2011

OA

Articlegreen2011

Dynamic Effects of Idiosyncratic Volatility and Liquidity on Corporate Bond Spreads

Madhu Kalimipalli · Subhankar Nayak · Marcos Fabricio Perez

23 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Corporate Finance and Governance

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References

1993Common risk factors in the returns on stocks and bonds 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2002Illiquidity and stock returns: cross-section and time-series effects 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1996Impulse response analysis in nonlinear multivariate models 2008Market Liquidity and Funding Liquidity 2002Determining the Number of Factors in Approximate Factor Models 2009Deciphering the Liquidity and Credit Crunch 2007–2008

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Year2011

Typearticle

Published2011-01-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations23

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2013.04.019

openalex_workW1997689376

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