Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …

We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is …

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

corporate liquidity. These relations are more pronounced in larger, less risky firms whose debt is a closer substitute for … competition for Treasury securities. In concert, our results suggest that large, financially healthy corporations act as liquidity …

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 …This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in …

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 …We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect …

changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond …

Is greater trading liquidity good or bad for corporate governance? We address this question both theoretically and … information concerns her own plans for taking an active role in governance. We show that an increase in the liquidity of the firm …'s stock increases the likelihood of the large investor 'taking the Wall Street walk.' Thus, higher liquidity is harmful for …

Our paper reports the following two findings: 1) In monthly data, bond purchases by the Fed raise bond prices and … reduce bond yields. The residual bond-supply to traders is not fully predictable, and this supply-risk adds between 10 and 40 …-move at high frequencies. To explain these two facts, we model the bond and stock markets as spatially separate or 'segmented …