I propose an implementation of the q-theory of investment using bond prices instead of equity prices. Credit risk makes … corporate bond prices sensitive to future asset values, and q can be inferred from bond prices. The bond market's q performs …

time varying and strongly related to measures of bond-specific illiquidity as well as to macroeconomic measures of bond …

pseudo-firm assets. Empirically, like corporate spreads, pseudo-bond spreads are large, countercyclical, and predict lower … economic growth. Using this framework, we find that bond market illiquidity, investors' over-estimation of default risks, and …

corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing … spreads, and bond liquidity measures including Bond-CDS spreads and bid-ask spreads in the data. Through a structural … quantitatively evaluate the effects of liquidity-provision policies for the corporate bond market …

of the dynamic REE equilibrium and its comparative statics. Second, we show that the nonlinearity of the bond payoff in … grade bonds. These magnitudes are in line with empirical estimates linking bond spreads to empirical measures of investor …

an over-the-counter secondary market with search frictions. Bargaining with dealers determines a bond's endogenous … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … endogenous default worsens a bond's secondary market liquidity, which amplifies equity holders' rollover losses, which in turn …

-specific information on expected defaults and a residual component--the excess bond premium. Our results indicate that the predictive … content of credit spreads is due primarily to movements in the excess bond premium. Innovations in the excess bond premium …-dealers--key financial intermediaries in the corporate cash market--led to an increase in the excess bond premium. These find- ings support …