Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises
By N. Friewald, R. Jankowitsch, Marti G. Subrahmanyam. 2012
344 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/eba2063b6efaf205a9fbddd8dc82053185d06104
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Zhiguo He
- Konstantin W. Milbradt
- Nina Boyarchenko
- Tobias Adrian
- K. Venkataraman
- R. Jankowitsch
- Or Shachar
- Florian Nagler
Citations in the corpus
- Did Fair-Value Accounting Contribute to the Financial Crisis? (2010, neutral): “8 Friewald et al. (2009) find that liquidity measures explain market-wide corporate yield spread changes even after accounting for credit risk, suggesting that liquidity does play a role in the pricing.”
- Dealer balance sheets and bond liquidity provision (2016, positive): “Friewald et al. (2012) document that liquidity explains about one third of the variation in the aggregate market corporate yield spread in the time-series, and about half during the crisis.”
- The Volcker Rule and Market-Making in Times of Stress (2016, neutral): “…our paper is to study whether illiquidity is relatively worse in periods of stress after the Volcker Rule was 2 See Bao, Pan, and Wang (2011), Dick-Nielsen, Feldhutter, and Lando (2012), and Friewald, Jankowitsch, and Subrahmanyam (2012).”
- Endogenous Liquidity and Defaultable Bonds (2012, positive): “Thus, to guard against such adversely selected investors, a market maker in the Glosten and Milgrom (1985) tradition would raise the bid-ask spread.”
- Click or Call? Auction versus Search in the Over‐the‐Counter Market (2012, neutral): “Dick-Nielsen, Feldhütter, and Lando (2012) and Friewald, Jankowitsch, and Subrahmanyam (2012) examine bond liquidity and prices during the financial crisis.”
- The Determinants of Recovery Rates in the US Corporate Bond Market (2014, methodology): “Again, the traded volume on the default day is higher than the market-wide average of around $5 million (see, e.g., Friewald et al., 2012).”
- Capital Commitment and Illiquidity in Corporate Bonds (2017, background): “The financial crisis of 2007-2009 saw the broad deterioration of liquidity in both equity (e.g., Anand, Irvine, Puckett, and Venkataraman, 2013) and corporate bond (e.g., Dick-Nielsen, Feldhutter, and Lando, 2012; Friewald, Jankowitsch, and Subrahmanyam, 2012) markets.”