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Bond Price Data and Bond Market Liquidity
5 references·16 citing·46 second hop
Bond Price Data and Bond Market Liquidity (1989)Bond Price Data and Bond Market LiquidityModern Investment Theory. (1986)Modern Investment Theory.A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Determinants of Risk Premiums on Corporate Bonds (1959)Determinants of Risk Premiums…Factor Investing in the Corporate Bond Market (2014)Factor Investing in the Corpo…Corporate hedging and the cost of debt (2014)Corporate hedging and the cos…Liquidity effects in corporate bond spreads (2013)Liquidity effects in corporat…Liquidity and Arbitrage in the Market for Credit Risk (2011)Liquidity and Arbitrage in th…“Explaining the Rate Spread on Corporate Bonds” (2010)“Explaining the Rate Spread o…The market for corporate control and the cost of debt (2009)The market for corporate cont…Latent liquidity: A new measure of liquidity, with an application to corporate bonds (2008)Latent liquidity: A new measu…The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market (2005)The Price of Future Liquidity…Corporate Yield Spreads and Bond Liquidity (2004)Corporate Yield Spreads and B…Trading Costs in Three U.S. Bond Markets (2003)Trading Costs in Three U.S. B…The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors (2003)The Components of Corporate C…Measuring Treasury Market Liquidity (2001)Measuring Treasury Market Liq…Measuring Treasury Market Liquidity (2001)Measuring Treasury Market Liq…The determinants of trading volume of high-yield corporate bonds (2000)The determinants of trading v…Tax and Liquidity Effects in Pricing Government Bonds (1998)Tax and Liquidity Effects in …Some Empirical Estimates of the Risk Structure of Interest Rates (1989)Some Empirical Estimates of t…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Limited-dependent and qualitative variables in econometrics (1983)Common risk factors in the returns on stocks and bonds (1993)Search and endogenous concentration of liquidity in asset markets (2006)Liquidity and Credit Default Swap Spreads (2008)Corporate bond credit spreads and forecast dispersion (2010)The Pricing of Options and Corporate Liabilities (1973)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Does the debt market assess large banks, risk? 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this work references cited by second hop

References

  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1959Determinants of Risk Premiums on Corporate Bonds460 cited
  • 1986Modern Investment Theory.405 cited

Cited by

  • 1989Some Empirical Estimates of the Risk Structure of Interest Rates258 cited
  • 2001Measuring Treasury Market Liquidity227 cited
  • 2008Latent liquidity: A new measure of liquidity, with an application to corporate bonds225 cited
  • 1998Tax and Liquidity Effects in Pricing Government Bonds192 cited
  • 2004Corporate Yield Spreads and Bond Liquidity192 cited
  • 2005The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market183 cited
  • 2010“Explaining the Rate Spread on Corporate Bonds”173 cited
  • 2014Factor Investing in the Corporate Bond Market171 cited
  • 2000The determinants of trading volume of high-yield corporate bonds170 cited
  • 2014Corporate hedging and the cost of debt156 cited

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2009
The market for corporate control and the cost of debt
149 cited
  • 2003The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity, and Market Factors149 cited
  • 2013Liquidity effects in corporate bond spreads144 cited
  • 2003Trading Costs in Three U.S. Bond Markets134 cited
  • 2011Liquidity and Arbitrage in the Market for Credit Risk129 cited
  • 2001Measuring Treasury Market Liquidity123 cited