Helwege, Jean; Huang, Jing-Zhi; Wang, Yuan - In: Journal of Banking & Finance 45 (2014) C, pp. 105-116
Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to disentangle the two factors empirically. In this paper we separate out the credit risk component by examining bonds that are issued by the same firm and that trade on the same day, allowing us to examine...
