in bond trading has explanatory power for corporate bond yield spreads, and this result holds after controlling for the … transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Further, information asymmetry can help … forecast corporate defaults after conditioning on other default prediction variables. Such forecasting ability of bond informed …

This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury … bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS … (nominal Treasury) excess returns. The explanatory power of the TIPS liquidity premium is statistically significant and …