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Comparing Possible Proxies of Corporate Bond Liquidity · Study

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PreprintComparing Possible Proxies of Corporate Bond Liquidity

Patrick Houweling2003

OA

Preprintgreen2003

Comparing Possible Proxies of Corporate Bond Liquidity

Patrick Houweling · Albert Mentink · Ton Vorst

111 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 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY 1986Asset pricing and the bid-ask spread 2001The Determinants of Credit Spread Changes 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2001Market Liquidity and Trading Activity 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns 1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1

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Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations111

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.307419

openalex_workW2102390519

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