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

-mediation? We propose a measure of bond's mis-allocation among dealers and show its correlation with bond's liquidity risk which is … bond and their corresponding inventory positions. Using a transaction-level dataset on U.S. corporate bonds, we verify: a … higher mis-allocation is associated with a higher magnitude of liquidity risk. A search-match model with dealers' endogenous …

This paper provides an innovative theoretical model and empirical evidence for how the illiquidity of corporate bonds … pronounced for bonds with lower market sensitivity and for firms with higher degrees of information uncertainty and operating in …

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 …

financial stability. For example, a mutual fund promising overnight liquidity based on illiquid assets (such as corporate bonds …Some financial supervisors worry that liquidity transformation within the “shadow banking” sector might threaten … brokers generally trade in the same direction as the mutual funds, high-yield corporate bonds present an exception. Flows out …

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 …

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 …

banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …We explore the ties between bonds and individual dealers formed through home advantage and the persistence of previous …

the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using … the regulatory version of TRACE data for the period 2002-2013, we find that following public registration of 144A bonds … results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity …