This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …

its stocks. Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a … stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate … bond market. The Monte Carlo simulation technique is used to quantify the impact on the liquidity premium of various …