Nashikkar, Amrut; Subrahmanyam, Marti G.; Mahanti, Sriketan - In: Journal of Financial and Quantitative Analysis 46 (2011) 03, pp. 627-656
The recent credit crisis has highlighted the importance of market liquidity and its interaction with the price of credit risk. We investigate this interaction by relating the liquidity of corporate bonds to the basis between the credit default swap (CDS) spread of the issuer and the...