The Illiquidity of Corporate Bonds
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 substantial, significantly greater than what can be explained by bid-ask spreads. We establish a strong link betwee...
Main Authors: | Bao, Jack (Author), Pan, Jun (Contributor), Wang, Jiang (Contributor) |
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Other Authors: | Sloan School of Management (Contributor) |
Format: | Article |
Language: | English |
Published: |
American Finance Association/John Wiley & Sons, Inc.,
2012-12-11T16:29:31Z.
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Subjects: | |
Online Access: | Get fulltext |
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