This paper documents the pricing of liquidity and identifies its drivers in the four main segments of the interbank and … exchange credit bond markets in China. First, we find that liquidity effects are priced in credit bond yield spreads, and … differ significantly across these four segments. Second, we identify several channels through which liquidity may affect the …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

evidence that dealers' inventory financing constraints are a crucial determinant of the costs of their liquidity provision in … component of the effective bid-ask spread. Compared to low volatility bonds, the liquidity provision of high volatility bonds is … alleviates liquidity problems among eligible dealers …

Larger bonds offer greater liquidity, which should reduce their yields. A simple way for firms to reduce financing … suggests that the beneficial aspects of greater liquidity are counter-balanced by the negative effects of price pressure. This …

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 …

Liquidity level and liquidity risk are priced in the cross-section of corporate bond yields and returns. In the first … case the focus is on the individual liquidity level while in the second case it is on the exposure to a common liquidity … factor. In this paper we focus on the impact of the liquidity level on yield spreads by acknowledging that liquidity is a …

points out that bond characteristics have a significant relation with bond liquidity. Bonds with shorter time to maturity or …

We present evidence on the evolution of liquidity in the UK corporate bond market for the period 2008–2014. On the … basis of a series of widely accepted liquidity measures, we document that there is no evidence that liquidity outcomes have … become more liquid in recent years. We also document that there is little evidence that liquidity is having a larger effect …