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Liquidity Risk of Corporate Bond Returns: A Conditional Approach · Study

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PreprintLiquidity Risk of Corporate Bond Returns: A Conditional Approach

Viral V. Acharya2010

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Preprintgreen2010

Liquidity Risk of Corporate Bond Returns: A Conditional Approach

Viral V. Acharya · Yakov Amihud A · Sreedhar T. Bharath

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

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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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 1985The equity premium: A puzzle 2003Liquidity Risk and Expected Stock Returns 1986Economic Forces and the Stock Market 1986Asset pricing and the bid-ask spread

Cited by

2015Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?2013Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model 2011Downside risk and the size of credit spreads 2019Do the LCAPM Predictions Hold? Replication and Extension Evidence

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2013Liquidity risk of corporate bond returns: conditional approacharticle · 51 shared references 2010Liquidity Risk of Corporate Bond Returnsother · 45 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 26 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 21 shared references 2014The Empirical Analysis of Liquidityarticle · 20 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 18 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations48

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1612287

openalex_workW2167300237

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