Boyarchenko, Nina; Giannone, Domenico; Shachar, Or - 2018
We study the conditional distribution of future liquidity in the secondary market for corporate bonds as a function of … current liquidity. Increases in liquidity are persistent for investment-grade bonds and flighty for high-yield bonds. Greater … liquidity of high-yield bonds is associated with lower uncertainty about future liquidity of investment-grade bonds, but greater …