This paper examines the illiquidity of corporate bonds and its asset‐pricing implications.
Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is …

This article provides an empirical decomposition of the default, liquidity, and tax factors that
determine expected corporate bond returns. In particular, the risk premium associated with a …

We present a new measure of liquidity known as “latent liquidity” and apply it to a unique
corporate bond database. Latent liquidity is defined as the weighted average turnover of …

In this paper, we model price dispersion effects in over-the-counter (OTC) markets to show
that, in the presence of inventory risk for dealers and search costs for investors, traded prices …

This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that
corporate bond returns have signifcant exposures to fluctuations in treasury bond liquidity …

This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that
corporate bond returns have significant exposures to fluctuations in treasury bond liquidity …

This study examines the European Central Bank's (ECB) use of unconventional monetary
policy to decarbonise its balance sheet, focusing specifically on the inherent trade-offs …

I propose a friction measure of bond round-trip liquidity costs that is robust to outliers and
accounts for the idiosyncratic information behind trading decisions. Particularly effective with …

We study the consistency of the credit-risk orderings implicit in ratings and bond market
yields. By analyzing errors in term structure estimates for bonds with particular ratings, we …

Firms commonly incorporate make‐whole call provisions in their newly issued debt,
presumably to improve their ability to retire debt early if circumstances require. In return for …