Liquidity Risk Premia in Corporate Bond Markets

By Frank de Jong, Joost Driessen. 2012

208 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/806cb52ed49344a3eeb3781c81c6eff839b332c7

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In Finance

1. R. Jankowitsch
2. Marti G. Subrahmanyam
3. N. Friewald
4. Amrut J. Nashikkar
5. Zhiguo He
6. Konstantin W. Milbradt

Citations in the corpus

• Price Dispersion in OTC Markets: A New Measure of Liquidity (2011, background): “Turning to models for OTC markets, Duffie et al. (2005) and Duffie et al.”
• Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, background): “, Elton, Gruber, Agrawal, and Mann (2001), Collin-Dufresne, Goldstein, and Martin (2001), Perraudin and Taylor (2003), Eom, Helwege, and Huang (2004), Liu, Longstaff, and Mandell (2004), Houweling, Mentink, and Vorst (2005), Longstaff, Mithal, and Neis (2005), De Jong and Driessen (2006), Edwards, H”