Bond Illiquidity and Excess Volatility
We find that the empirical volatilities of corporate bond and CDS returns are higher than implied by equity return volatilities and the Merton model. This excess volatility may arise because structural models inadequately capture either fundamentals or illiquidity. Our evidence supports the latter e...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
John Wiley & Sons, Inc,
2014-06-17T19:48:20Z.
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| Subjects: | |
| Online Access: | Get fulltext |