Goldstein, Michael A.; Hotchkiss, Edith; Pedersen, David J. - In: Journal of risk and financial management : JRFM 12 (2019) 2/86, pp. 1-17
This paper studies the link between secondary market liquidity for a corporate bond and the bond's yield spread at … issuance. Using ex-ante measures of expected liquidity at the time of issuance, based on the characteristics of the … underwriting syndicate, we find an economically large impact of liquidity on yield spreads. We estimate that a 10% increase in …