Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000 bonds,...

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Veröffentlicht in:	Journal of financial economics 2012-07, Vol.105 (1), p.18-36
Hauptverfasser:	Friewald, Nils, Jankowitsch, Rainer, Subrahmanyam, Marti G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond market Bond markets Corporate bonds Credit Economic crisis Economic impact analysis Financial crisis Liquidity OTC markets Risk Securities prices Studies U.S.A Yield
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