is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

We introduce an approach to forecast individual bond liquidity and apply it to the U.S. corporate bond market. Our … model combines three dynamic prediction models to get the most accurate estimate for future bond liquidity. We compare the … new prediction methodology with the literature's current approach to use a bond's liquidity of today as the best estimate …

appeal to these investors. The effect of the widened liquidity gap on transactions costs is further amplified by a surge in … the price liquidity providers charge for access to their balance sheets in the crisis …

We develop a dynamic general equilibrium model to analyze the optimal quantity of liquid bonds by investigating the …

We develop a dynamic general equilibrium model to analyze the optimal quantity of liquid bonds by investigating the …

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 …

Security indices are central to modern finance. Because corporate bonds trade infrequently – often less than once a … prices and take advantage of it. Our final tests show that they alter the liquidity of their holdings when doing so may help …

Ibbotson's “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data … total returns on long-term corporate bonds and long-term government bonds. This excess return is used in empirical research … flawed in two ways: (1) it is not based on subtracting maturity-matched government bonds from corporate bonds, and therefore …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …