Abstract
Using proxies for conversion cost parameters in conjunction with a special set of default free corporate bonds, we empirically establish that the term structure of liquidity spreads was positively sloped in the financial crisis period of 2008 and negatively sloped in the subsequent post crisis period. Importantly, these results indicate the segment of the term structure that provides the largest liquidity premiums to lenders for alternative economic scenarios. At the same time, for different financial epochs, the liquidity spreads associated with different times to maturity are clear to those who issue debt.
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