Corporate Yield Spreads and Bond Liquidity

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Subfields: Finance

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Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition (2011, methodology): “trading through random endowments, as in the differential-information model of Diamond and Verrecchia (1981), rather than through a random asset supply. The results on how the asymmetric-information friction is reflected in ex ante prices and expected returns (Period 0 equilibrium) are new, and so a”
The Market for Corporate Control and the Cost of Debt (2009, methodology): “Following Chen, Lesmond, and Wei (2007), we estimate a simultaneous equations speci cation in Table 10 using xed e ects two-stage least squares regressions.”
Climate Change News Risk and Corporate Bond Returns (2020, neutral): “Fourth, a potential concern regarding our results is that the pricing of βCCN could be specific to a category of credit ratings such as noninvestment-grade bonds, which are riskier and less liquid (Chen et al. (2007)).”
Price Dispersion in OTC Markets: A New Measure of Liquidity (2011, neutral): “(2001), Collin-Dufresne et al. (2001), Houweling et al.”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, neutral): “The result does not imply that there is no relation between bid-ask spreads and corporate bond prices, a relation found by Chen, Lesmond, and Wei (2007) among others.”