We study regime switching features of liquidity risk in corporate bond premiums. Within a sample period ranging from … July 2002 to April 2015, we first compute a liquidity risk index for BBB bonds, which considers various liquidity risk … facets based on principal component analysis. Second, we identify two liquidity regimes in our sample using a Markov …

There are competing arguments about the likely effects of Sovereign Bond-Backed Securitization on the liquidity of … sovereign bond markets. By analyzing hedging and diversification opportunities, this paper shows that positive liquidity …

This paper studies the impact of expected issuance fees on market liquidity in the Euro-area government bond market … market. Primary dealers have the incentive to increase liquidity due to competition for issuance fees because lead managers … are selected based on their liquidity provision in the secondary market. We find that the expected issuance fee is …

disappear if dealers are diversified in providing liquidity across country-specific secondary markets and SBBS tranches. Hedging …

-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …

There are competing arguments about the likely effects of Sovereign Bond-Backed Securitisation on the liquidity of … sovereign bond markets. By analysing hedging and diversification opportunities, this paper shows that positive liquidity …