The Bond/Old-Bond Spread

By Arvind Krishnamurthy. 2002

500 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1ecabe6a8845b5bf30ded21f4538918a92eca9c2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

Citations in the corpus

Stock Market Declines and Liquidity (2010, unknown): “As Krishnamurthy (2002) shows, the difference in the return on CP and T-Bills (or the CP spread) reflects a liquidity premium demanded by the large investors in CP such as money market mutual funds and other financial corporations.”
Supply and Demand Shifts in the Shorting Market (2007, unknown): “Rather, “specialness” (i.e., a high loan fee) is only important for future returns when driven by increases in shorting demand.”
The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010, background): “3Studies on bond liquidity include Amihud and Mendelson (1991), Warga (1992), Boudoukh and Whitelaw (1993), Kamara (1994), Krishnamurthy (2002), Goldreich, Hanke, and Nath (2005), Fleming (2003), Huang, Cai, and Wang (2002), Fleming and Remolona (1999), Balduzzi, Elton, and Green (2001), and…”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “The market liquidity variables are the on-the-run minus off-the-run 10 year government Treasury note spread (see Krishnamurthy (2002)) in each of the four markets (U.S., U.K., Japan, and Europe, using Germany as a proxy), the Pastor and Stambaugh (2003) liquidity measure (their factor, not their fac”
IPO underpricing and after-market liquidity (2006, unknown): “Other studies on U.S. public debt securities by Warga (1992), Daves and Ehrhardt (1993), Kamara (1994) and Krishnamurthy (2000) confirm these findings.”
The History and Economics of Safe Assets (2016, unknown): “Figure adapted with permission from Krishnamurthy & Vissing-Jørgensen (2012).”
Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle (2018, unknown): “, Duffie (1996), Krishnamurthy (2002), Longstaff (2004)) that Treasury yields are lower than the risk-free rate due to their special role in financial markets.”
Comparing Possible Proxies of Corporate Bond Liquidity (2003, methodology): “Warga (1992), Goldreich et al. (2002) and Krishnamurthy (2002) used this method on US Treasury data and Boudoukh and Whitelaw (1991, 1993) on Japanese data.”
Decomposing Swap Spreads (2008, unknown): “according to Lando (1998), so we have cij = −[B]ij[B−1]j,K and dj = D̃jj in (4).”
Securities lending, shorting, and pricing (2002, background): “Lending fees are studied in static models by Duffie (1996), Krishnamurthy (2001), and D’Avolio (2001).”
The on-the-run liquidity phenomenon (2009, unknown): “Consistently, numerous studies (e.g., Amihud and Mendelson, 1991; Krishnamurthy, 2002; Strebulaev, 2002; Goldreich, Hanke and Nath, 2005) find that on average, after accounting for transaction costs, observed yield differentials between on-the-run and off-the-run securities are too small to…”