Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - 2010
"We study the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the … period 1973 to 2007. A decline in liquidity of stocks or Treasury bonds produces conflicting effects: Prices of investment … default). Our findings suggest the existence of time-varying liquidity risk of corporate bond returns and episodes of flight …