We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit … range of liquidity measures and find that liquidity effects account for approximately 14% of the explained market …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … on whether liquidity eects are more pronounced in periods of nancial crises, especially for bonds with high credit risk … liquidity measures and nd that liquidity eects account for approximately 14% of the explained market-wide corporate yield spread …