Comparing Possible Proxies of Corporate Bond Liquidity

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Subfields: Finance

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Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, methodology): “Finally, we add bond age, time-to-maturity, and size of coupon to the regressions; see, for example, Sarig and Warga (1989), Houweling, Mentink, and Vorst (2005), and Longstaff, Mithal, and Neis (2005).”
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, background): “…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, Harris, and Piwowar (2007), and…”
Liquidity and Arbitrage in the Market for Credit Risk (2011, background): “More recently, Houweling et al. (2005) use liquidity-sorted portfolios in the European market, constructed using nine proxies for liquidity including issued amount, listing, currency, on-the-run or not, age, whether there are missing prices, yield volatility, the number of quote contributors, and…”