Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of Financial Economics 110 (2013) 2, pp. 358-386
We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period … 1973–2007 in a regime-switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices … default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to …