The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures

By Peter Feldhütter. 2012

338 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/97459158001e3c19950723e0c476f5bf4e44f6a4

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Citations in the corpus

Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle (2018, neutral): “This number is taken from empirical work that estimates search frictions in the bond market (Feldhütter [2012]).”
Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions (2017, neutral): “3 The search-based approach pioneered by Duffie, Gârleanu, and Pedersen (2005) has been used to study liquidity (Duffie, Gârleanu, and Pedersen, 2007; Vayanos and Weill, 2008; Weill, 2008; Feldhütter, 2012; Praz, 2014), and trading dynamics in the federal funds market (Afonso and Lagos, 2015).”
Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading (2015, neutral): “11 See Goh et al. (2009) for a general analysis of the determinants of accounting choice and the effects of fair value disclosure on firms’ information environment.”
Corporate Bond Liquidity during the COVID-19 Crisis (2020, methodology): “This complements the evidence of Feldhütter (2012), who showed that trades are affected differently by market turmoil depending on their size.”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “…include those of Shleifer (1986), Harris and Gurel (1986), Madhavan (2001), Greenwood (2005), Mitchell, Pulvino, and Stafford (2002), Wurgler and Zhuravskaya (2002), Kaul, Mehrotra, and Morck (2000), Coudert and Gex (2008), Chen, Lookman, Schürhoff, and Seppi (2009), and Feldhütter (2009).”
Capital Commitment and Illiquidity in Corporate Bonds (2017, neutral): “DOI: 10.1111/jofi.12694 1615 1616 The Journal of Finance R© (e.g., Dick-Nielsen, Feldhutter, and Lando (2012), Friewald, Jankowitsch, and Subrahmanyam, (2012)) markets.”
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, background): “An alternative measure of bid-ask spreads is proposed in Feldhütter (2008) and is based on unique roundtrip trades (URT).”
Endogenous Liquidity and Defaultable Bonds (2012, methodology): “This is following Feldhütter (2012), which, to the best of our knowledge, is the only paper that provides an estimation of β based on a different structural model involving search. The parameter λ is the meeting intensity of investors with dealers. Although we are using a search-based framework to m”
Dealer balance sheets and bond liquidity provision (2016, neutral): “The imputed round-trip cost (IRC) is based on Feldhütter (2012).”