Chebbi, Tarek; Hellara, Slaheddine - In: International Journal of Monetary Economics and Finance 3 (2010) 3, pp. 207-226
This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that this risk is a priced factor for the credit spread associated with corporate bonds. Therefore, the liquidity spread helps to clarify the credit-spread puzzle. This finding suggests that credit spreads...