equity volatility with high-frequency measures, liquidity costs explain a substantial fraction of the variation in the yield …I propose a friction measure of bond round-trip liquidity costs that is robust to outliers and accounts for the … liquidity costs display a strong correlation with credit conditions and peaked during the subprime crisis. After controlling for …

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads … and contains almost all valid information on liquidity risk. As the credit level decreases, the explanatory power of … Chinese bond market, downside risk proxy semi-variance can better explain yield spreads and predict portfolio excess returns …