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 …

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 …

are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the … impact of liquidity on ILB yields. This paper summarizes studies concerning ILB liquidity at a glance and adds a new … estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the …

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 …

Corporate bond investors are compensated for liquidity and counter-party risk in the yield received in excess of the … credit premium and risk-free rate. This paper shows that the liquidity premium as a hedge against uncertain future states is … interest rate risk. The liquidity premium increases with the time that investors must wait for compensation. The results …

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 …

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 …

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 …

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 …