Online Appendix- Further Robustness Tests- An online appendix to "Over-the-Counter Market Liquidity and Securities Lending".Full Publication: "http://ssrn.com/abstract=3340251" Over-the-Counter Market Liquidity and Securities Lending

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on corporate bond market trades with securities lending transactions and individual corporate bond holdings by U.S. insurance companies. Applying a difference-in-differences...