Liquidity risk and expected corporate bond returns

396 citations recorded by the source corpus.

Subfields: Finance

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Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, methodology): “…market; see, e.g., Edwards, Harris, and Piwowar (2007), Goldstein and Hotchkiss (2007), Mahanti, Nashikkar, Subrahmanyam, Chacko, and Mallik (2008), Ronen and Zhou (2009), Nashikkar, Subrahmanyam, and Mahanti (2011), Lin, Wang, and Wu (2011), and Jankowitsch, Nashikkar, and Subrahmanyam (2011).”
Media Coverage and the Cost of Debt (2019, positive): “To control for the effect of liquidity (Lin, Wang, and Wu (2011), Bongaerts, de Jong, and Driessen (2017)), we employ both stock and bond liquidity measures.”
Climate Change News Risk and Corporate Bond Returns (2020, positive): “Following Lin et al. (2011) and others, we calculate the monthly corporate bond returns as of month t as ri,t ¼ Pi,tþAIi,tð ÞþCi,t Pi,t 1þAIi,t 1ð ÞPi,t 1þAIi,t 1ð Þ ,(1) wherePi,t is the last transaction price at which bond iwas traded inmonth t, which is computed as the trading volume-weighted…”
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, background): “Lin, Wang, and Wu (2011) study liquidity risk in the corporate bond market but do not focus on the regime-dependent nature of liquidity risk.”