, depth, and resiliency. We investigate the relevance of each of these three dimensions of liquidity - separately and in …-default spreads, with trading costs and resiliency being more important than depth. We also find that both bond-specific and market …Seminal market microstructure literature identifies at least three important dimensions of liquidity: trading costs …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …

This paper shows that bond market liquidity plays an important role in determining corporate debt contracts. We find … exogenous shock to bond market liquidity, and an instrumental variable regression controlling for the endogeneity of bond … that bonds with better expected market liquidity are issued with fewer restrictive covenants, longer maturities, and lower …