메뉴 건너뛰기




Volumn 66, Issue 3, 2011, Pages 911-946

The Illiquidity of Corporate Bonds

Author keywords

[No Author keywords available]

Indexed keywords


EID: 79956270007     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2011.01655.x     Document Type: Article
Times cited : (646)

References (26)
  • 1
    • 79956257356 scopus 로고    scopus 로고
    • Excess volatility of corporate bonds, Working paper, Ohio State and MIT Sloan
    • Bao, Jack, and Jun Pan, 2010, Excess volatility of corporate bonds, Working paper, Ohio State and MIT Sloan
    • (2010)
    • Bao, J.1    Pan, J.2
  • 2
    • 35448968712 scopus 로고    scopus 로고
    • Liquidity and expected returns: Lessons from emerging markets
    • Bekaert, Geert, Campbell Harvey, and Christian Lundblad, 2007, Liquidity and expected returns: Lessons from emerging markets, Review of Financial Studies 20, 1783-1831.
    • (2007) Review of Financial Studies , vol.20 , pp. 1783-1831
    • Bekaert, G.1    Harvey, C.2    Lundblad, C.3
  • 3
    • 33749143202 scopus 로고    scopus 로고
    • Optimal market transparency: Evidence from the initiation of trade reporting in corporate bonds
    • Bessembinder, Hendrick, William Maxwell, and Kumar Venkataraman, 2006, Optimal market transparency: Evidence from the initiation of trade reporting in corporate bonds, Journal of Financial Economics 82, 251-288.
    • (2006) Journal of Financial Economics , vol.82 , pp. 251-288
    • Bessembinder, H.1    Maxwell, W.2    Venkataraman, K.3
  • 5
    • 33846222304 scopus 로고    scopus 로고
    • Corporate yield spreads and bond liquidity
    • Chen, Long, David Lesmond, and Jason Wei, 2007, Corporate yield spreads and bond liquidity, Journal of Finance 62, 119-149.
    • (2007) Journal of Finance , vol.62 , pp. 119-149
    • Chen, L.1    Lesmond, D.2    Wei, J.3
  • 7
    • 79956288325 scopus 로고    scopus 로고
    • Liquidity risk premia in corporate bond markets, Working paper, University of Amsterdam
    • de Jong, Frank, and Joost Driessen, 2005, Liquidity risk premia in corporate bond markets, Working paper, University of Amsterdam
    • (2005)
    • de Jong, F.1    Driessen, J.2
  • 8
    • 79956257707 scopus 로고    scopus 로고
    • Is liquidity risk priced in the corporate bond market? Working paper, Rice University
    • Downing, Chris, Shane Underwood, and Yuhang Xing, 2005, Is liquidity risk priced in the corporate bond market? Working paper, Rice University
    • (2005)
    • Downing, C.1    Underwood, S.2    Xing, Y.3
  • 9
    • 34248207286 scopus 로고    scopus 로고
    • Corporate bond market transaction costs and transparency
    • Edwards, Amy K., Lawrence E. Harris, and Michael S. Piwowar, 2007, Corporate bond market transaction costs and transparency, Journal of Finance 62, 1421-1451.
    • (2007) Journal of Finance , vol.62 , pp. 1421-1451
    • Edwards, A.K.1    Harris, L.E.2    Piwowar, M.S.3
  • 10
    • 33847678600 scopus 로고    scopus 로고
    • Transparency and liquidity: A controlled experiment on corporate bonds
    • Goldstein, Michael A., Edith S. Hotchkiss, and Erik R. Sirri, 2007, Transparency and liquidity: A controlled experiment on corporate bonds, Review of Financial Studies 20, 235-273.
    • (2007) Review of Financial Studies , vol.20 , pp. 235-273
    • Goldstein, M.A.1    Hotchkiss, E.S.2    Sirri, E.R.3
  • 11
    • 84977725243 scopus 로고
    • Liquidity and market structure
    • Grossman, Sanford J., and Merton H. Miller, 1988, Liquidity and market structure, Journal of Finance 38, 617-633.
    • (1988) Journal of Finance , vol.38 , pp. 617-633
    • Grossman, S.J.1    Miller, M.H.2
  • 12
    • 84977721710 scopus 로고
    • Statistical properties of the Roll serial covariance bid/ask spread estimator
    • Harris, Lawrence, 1990, Statistical properties of the Roll serial covariance bid/ask spread estimator, Journal of Finance 45, 579-590.
    • (1990) Journal of Finance , vol.45 , pp. 579-590
    • Harris, L.1
  • 13
    • 79956290364 scopus 로고    scopus 로고
    • How to measure corporate bond liquidity? Working paper, Erasmus University Rotterdam
    • Houweling, Patrick, Albert Mentink, and Ton Vorst, 2003, How to measure corporate bond liquidity? Working paper, Erasmus University Rotterdam
    • (2003)
    • Houweling, P.1    Mentink, A.2    Vorst, T.3
  • 14
    • 84860126961 scopus 로고    scopus 로고
    • Liquidity and market crashes
    • Huang, Jennifer Chunyan, and Jiang Wang, 2009, Liquidity and market crashes, Review of Financial Studies 22, 2607-2643.
    • (2009) Review of Financial Studies , vol.22 , pp. 2607-2643
    • Huang, J.C.1    Wang, J.2
  • 15
    • 79956279406 scopus 로고    scopus 로고
    • How much of the corporate-treasury yield spread is due to credit risk? Working paper, Penn State and Cornell
    • Huang, Jingzhi, and Ming Huang, 2003, How much of the corporate-treasury yield spread is due to credit risk? Working paper, Penn State and Cornell
    • (2003)
    • Huang, J.1    Huang, M.2
  • 16
    • 0345868339 scopus 로고    scopus 로고
    • Return reversals in the bond market: Evidence and causes
    • Khang, Kenneth, and Tao-Hsien Dolly King, 2004, Return reversals in the bond market: Evidence and causes, Journal of Banking and Finance 28, 569-593.
    • (2004) Journal of Banking and Finance , vol.28 , pp. 569-593
    • Khang, K.1    King, T.-H.D.2
  • 17
    • 78951495866 scopus 로고    scopus 로고
    • Liquidity risk and the cross-section of expected corporate bond returns
    • Lin, Hai, Junbo Wang, and Chunchi Wu, 2011, Liquidity risk and the cross-section of expected corporate bond returns, Journal of Financial Economics 99, 628-650.
    • (2011) Journal of Financial Economics , vol.99 , pp. 628-650
    • Lin, H.1    Wang, J.2    Wu, C.3
  • 18
    • 25844492645 scopus 로고    scopus 로고
    • Corporate yield spreads: Default risk or liquidity? New evidence from the credit-default swap market
    • Longstaff, Francis, Sanjay Mithal, and Eric Neis, 2005, Corporate yield spreads: Default risk or liquidity? New evidence from the credit-default swap market, Journal of Finance 60, 2213-2253.
    • (2005) Journal of Finance , vol.60 , pp. 2213-2253
    • Longstaff, F.1    Mithal, S.2    Neis, E.3
  • 19
    • 79956289493 scopus 로고    scopus 로고
    • Latent liquidity and corporate bond yield spreads, Working paper, New York University
    • Mahanti, Sriketan, Amrut Nashikkar, and Marti Subrahmanyam, 2008, Latent liquidity and corporate bond yield spreads, Working paper, New York University
    • (2008)
    • Mahanti, S.1    Nashikkar, A.2    Subrahmanyam, M.3
  • 20
    • 44149116696 scopus 로고    scopus 로고
    • Latent liquidity: A new measure of liquidity, with an application to corporate bonds
    • Nashikkar, Amrut, Sriketan Mahanti, Marti Subrahmanyam, George Chacko, and Gaurav Mallik, 2008, Latent liquidity: A new measure of liquidity, with an application to corporate bonds, Journal of Financial Economics 88, 272-298.
    • (2008) Journal of Financial Economics , vol.88 , pp. 272-298
    • Nashikkar, A.S.M.1    Subrahmanyam, M.2    Chacko, G.3    Mallik, G.4
  • 21
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, Whitney K., and Kenneth D. West, 1987, A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 29, 229-256.
    • (1987) Econometrica , vol.29 , pp. 229-256
    • Newey, W.K.1    West, K.D.2
  • 23
    • 79956287794 scopus 로고    scopus 로고
    • Optimal trading strategy and supply/demand dynamics, Working paper, University of Maryland and MIT
    • Obizhaeva, Anna, and Jiang Wang, 2009, Optimal trading strategy and supply/demand dynamics, Working paper, University of Maryland and MIT
    • (2009)
    • Obizhaeva, A.1    Jiang, W.2
  • 24
    • 84944043652 scopus 로고
    • A simple implicit measure of the effective bid-ask spread in an efficient market
    • Roll, Richard, 1984, A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance 39, 1127-1139.
    • (1984) Journal of Finance , vol.39 , pp. 1127-1139
    • Roll, R.1
  • 25
    • 71949126766 scopus 로고    scopus 로고
    • A dynamic model of the limit order book
    • Rosu, Ioanid, 2009, A dynamic model of the limit order book, Review of Financial Studies 22, 4601-4641.
    • (2009) Review of Financial Studies , vol.22 , pp. 4601-4641
    • Rosu, I.1
  • 26
    • 79956274879 scopus 로고    scopus 로고
    • Liquidity and asset prices: A unified framework, Working paper, LSE and MIT
    • Vayanos, Dimitri, and Jiang Wang, 2009, Liquidity and asset prices: A unified framework, Working paper, LSE and MIT
    • (2009)
    • Vayanos, D.1    Wang, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.