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Liquidity risk of corporate bond returns: conditional approach · Study

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ArticleLiquidity risk of corporate bond returns: conditional approach

Viral V. Acharya2013

Article2013

Liquidity risk of corporate bond returns: conditional approach

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

293 citations·0/0 files stored·Journal of Financial Economics

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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

2018Exploring the sources of default clustering 2018Institutional herding and its price impact: Evidence from the corporate bond market 2017Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation 2018Anomalies and market (dis)integration 2017An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets 2019Over‐the‐Counter Market Frictions and Yield Spread Changes

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2010Liquidity Risk of Corporate Bond Returns: A Conditional Approachpreprint · 51 shared references 2010Liquidity Risk of Corporate Bond Returnsother · 38 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 19 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 18 shared references 2014The Empirical Analysis of Liquidityarticle · 17 shared references 2012Market Liquidity: Asset Pricing, Risk, and Crisesbook · 16 shared references

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Year2013

Typearticle

Published2013-08-09

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations293

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2013.08.002

openalex_workW3123095288

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2018The Myth of the Credit Spread Puzzle

2011Markov Switching Models in Empirical Finance