patterns, liquidity determinants, and the liquidity premium of catastrophe bonds. We find that cat bonds are mostly traded … dealer-buy and dealer-sell trade pairs from 229 cat bonds with exogenous default risk, we find that liquidity is high for … bonds with low default risk, bonds close to maturity, and in periods of high trading activity in the overall market. Using …

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

firms with higher asset risk, longer maturity bonds, and a higher likelihood of financial distress …

In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to … comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market …

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 …

This study shows how primary market supply influences the secondary market liquidity of outstanding bonds. Liquidity is … and remains elevated for several days. The effect is mostly attributed to switch trades between old and new bonds. It … increases by the volume issued and decreases by the amount of similar paper outstanding. The liquidity surge is positively …

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 investigate the intra-industry spill-over effect of bond defaults on the price of stocks, outstanding bonds and new … rich pattern of correlations across default events, which is helpful in improving the understanding of security pricing …