We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is …

In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to … comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …

transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Further, information asymmetry can help …Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed … asymmetry seem to capture adverse selection in corporate bond trading reasonably well. We demonstrate that information asymmetry …