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Corporate Yield Spreads and Bond Liquidity · Study

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PreprintCorporate Yield Spreads and Bond Liquidity

David A. Lesmond2004

OA

Preprintgreen2004

Corporate Yield Spreads and Bond Liquidity

David A. Lesmond · Long Chen · Jason Zhanshun Wei

192 citations·0/0 files stored·SSRN Electronic Journal

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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 1983Limited-dependent and qualitative variables in econometrics 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1986Asset pricing and the bid-ask spread 2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

Cited by

2006Search and endogenous concentration of liquidity in asset markets 2008Liquidity and Credit Default Swap Spreads 2010Corporate bond credit spreads and forecast dispersion 2008Expected returns, yield spreads, and asset pricing tests 2007The Levered Equity Risk Premium and Credit Spreads: A Unified Framework 2010Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008Liquidity and Credit Risk in Emerging Debt Marketspreprint · 24 shared references 2007Corporate Yield Spreads and Bond Liquidityarticle · 14 shared references 2016Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Dataarticle · 13 shared references 2014The Empirical Analysis of Liquidityarticle · 12 shared references 2013Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Predictionarticle · 12 shared references 2019Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Marketarticle · 12 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations192

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.495422

openalex_workW2059680737

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2009Tiebreaker: Certification and Multiple Credit Ratings

2016Common Risk Factors in the Cross-Section of Corporate Bond Returns