The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity … imposed on dealers were found to be negatively linked with the liquidity level of sovereign bonds. …

sensitive to cross-country differences in creditor protection and claims enforcement in a court of law. Bidder and target bonds … longer maturity bonds, bonds issued by firms with high asset risk, and bonds issued by firms with a higher likelihood of …

We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS … spreads. We capture the liquidity tail risk of a CDS contract written on a firm by estimating the tail dependence, i.e., the … extreme downwards movements in the liquidity of individual CDS contracts and the CDS market. This effect holds in various …

of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency …The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity … developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is …

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …

market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and … basis trades. -- bond asset swap spreads ; CDS premia ; basis trading profits ; credit risk ; liquidity ; fixed …

We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond …

-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for …