Abstract
This paper reexamines determinants of changes in the corporate bond yield spread, using transaction-based data on prices of US corporate bonds from the Trade Reporting and Compliance Engine (TRACE) over the period 2002-2009. We identify a new liquidity measure that has a significant and robust power in explaining corporate bond spread changes and more importantly that outperforms the existing corporate bond liquidity measures. We also show that the explanatory power of liquidity is actually reduced in the crisis period once credit risk is controlled for.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Paper version not known
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
