Chakravarty, Sugato; Sarkar, Asani - Federal Reserve Bank of New York - 1999
We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets … markets, the bid-ask spread increases in the remaining-time-to maturity of a bond. The corporate bond spread also increases in … credit risk and the age of a bond. The municipal bond spread increases in the after-tax bond yield. Controlling for others …