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Latent liquidity: A new measure of liquidity, with an application to corporate bonds

Citations

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Cited by:

  1. Loon, Yee Cheng & Zhong, Zhaodong Ken, 2014. "The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market," Journal of Financial Economics, Elsevier, vol. 112(1), pages 91-115.
  2. Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury.
  3. Hammami, Yacine & Bahri, Maha, 2016. "On the determinants of expected corporate bond returns in Tunisia," Research in International Business and Finance, Elsevier, vol. 38(C), pages 224-235.
  4. Padma Kadiyala & P.V. Viswanath, 2013. "Size Effects in the Pricing of Corporate Bonds," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 22(4), pages 229-258, November.
  5. András Danis, 2017. "Do Empty Creditors Matter? Evidence from Distressed Exchange Offers," Management Science, INFORMS, vol. 63(5), pages 1285-1301, May.
  6. Adrian, Tobias & Boyarchenko, Nina & Shachar, Or, 2017. "Dealer balance sheets and bond liquidity provision," Journal of Monetary Economics, Elsevier, vol. 89(C), pages 92-109.
  7. Xuanjuan Chen & Jing-Zhi Huang & Zhenzhen Sun & Tong Yao & Tong Yu, 2020. "Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market," Management Science, INFORMS, vol. 66(2), pages 932-957, February.
  8. Radygin, Alexander (Радыгин, Александр) & Akshentceva, Kseniia (Акшенцева, Ксения) & Chernovа, Maria (Чернова, Мария) & Abramov, Alexander (Абрамов, Александр), 2017. "Factors Affecting the Liquidity of Corporate Bonds [Факторы, Влияющие На Ликвидность Корпоративных Облигаций]," Working Papers 041706, Russian Presidential Academy of National Economy and Public Administration.
  9. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2021. "Granularity of Corporate Debt," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(4), pages 1127-1162, June.
  10. Kenji Suganuma & Yoichi Ueno, 2018. "The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series 18-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
  11. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
  12. Zhiguo He & Wei Xiong, 2012. "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, vol. 67(2), pages 391-430, April.
  13. Boutabba, Mohamed Amine & Rannou, Yves, 2022. "Investor strategies in the green bond market: The influence of liquidity risks, economic factors and clientele effects," International Review of Financial Analysis, Elsevier, vol. 81(C).
  14. Anatoli Segura & Javier Suarez, 2017. "How Excessive Is Banks’ Maturity Transformation?," The Review of Financial Studies, Society for Financial Studies, vol. 30(10), pages 3538-3580.
  15. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2012. "Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises," Journal of Financial Economics, Elsevier, vol. 105(1), pages 18-36.
  16. Sophie Steins Bisschop & Martijn Boermans & Jon Frost, 2016. "A shock to the system? Market illiquidity and concentrated holdings in European bond markets," DNB Occasional Studies 1401, Netherlands Central Bank, Research Department.
  17. Song Han & Alan G. Huang & Madhu Kalimipalli & Ke Wang, 2018. "Information and Liquidity of OTC Securities : Evidence from Public Registration of Rule 144A Bonds," Finance and Economics Discussion Series 2018-061, Board of Governors of the Federal Reserve System (U.S.).
  18. Larcker, David F. & Watts, Edward M., 2020. "Where's the greenium?," Journal of Accounting and Economics, Elsevier, vol. 69(2).
  19. Linas Jurksas & Deimante Teresiene & Rasa Kanapickiene, 2021. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions," Economies, MDPI, vol. 9(1), pages 1-22, March.
  20. Uluc Aysun & Ryan Brady & Adam Honig, 2009. "Financial Frictions and Monetary Transmission Strength: A Cross-Country Analysis," Working papers 2009-24, University of Connecticut, Department of Economics, revised Jun 2010.
  21. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
  22. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  23. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
  24. Cai, Fang & Han, Song & Li, Dan & Li, Yi, 2019. "Institutional herding and its price impact: Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, vol. 131(1), pages 139-167.
  25. Uluc Aysun & Ryan Brady & Adam Honig, 2011. "Financial Frictions and the Credit Channel of Monetary Transmission," Working Papers 2011-03, University of Central Florida, Department of Economics.
  26. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
  27. Thiago De Oliveira Souza, 2011. "Forecasting Investment-Grade Credit-Spreads. A Regularized Approach," Working Papers ECARES ECARES 2011-037, ULB -- Universite Libre de Bruxelles.
  28. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.
  29. Sergey Chernenko & Adi Sunderam, 2020. "Measuring the Perceived Liquidity of the Corporate Bond Market," NBER Working Papers 27092, National Bureau of Economic Research, Inc.
  30. Maul, D. & Schiereck, D., 2017. "The bond event study methodology since 1974," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 80723, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  31. Boermans, Martijn Adriaan & Frost, Jon & Steins Bisschop, Sophie, 2016. "European bond markets: Do illiquidity and concentration aggravate price shocks?," Economics Letters, Elsevier, vol. 141(C), pages 143-146.
  32. Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
  33. Jiang, Hao & Li, Yi & Sun, Zheng & Wang, Ashley, 2022. "Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, vol. 143(1), pages 277-302.
  34. Ronen, Tavy & Zhou, Xing, 2013. "Trade and information in the corporate bond market," Journal of Financial Markets, Elsevier, vol. 16(1), pages 61-103.
  35. Anatoli Segura & Javier Suarez, 2017. "How Excessive Is Banks’ Maturity Transformation?," Review of Financial Studies, Society for Financial Studies, vol. 30(10), pages 3538-3580.
  36. Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020, January-A.
  37. Aysun, Uluc & Hepp, Ralf, 2013. "Identifying the balance sheet and the lending channels of monetary transmission: A loan-level analysis," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2812-2822.
  38. Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.
  39. Niu, Huawei & Hua, Wei, 2019. "An endogenous structural credit risk model incorporating with moral hazard and rollover risk," Economic Modelling, Elsevier, vol. 78(C), pages 47-59.
  40. Suarez, Javier & Segura, Anatoli, 2011. "Liquidity shocks, roll-over risk and debt maturity," CEPR Discussion Papers 8324, C.E.P.R. Discussion Papers.
  41. Oehmke, Martin & Zawadowski, Adam, 2016. "The anatomy of the CDS market," LSE Research Online Documents on Economics 118964, London School of Economics and Political Science, LSE Library.
  42. Artur Akhmetov & Anna Burova & Natalia Makhankova & Alexey Ponomarenko, 2024. "Measuring Market Liquidity and Liquidity Mismatches Across Sectors," Springer Books, in: Alexander Karminsky & Mikhail Stolbov (ed.), Systemic Financial Risk, chapter 0, pages 131-194, Springer.
  43. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
  44. Allaudeen Hameed & Jean Helwege & Ran Li & Frank Packer, 2019. "Measuring corporate bond liquidity in emerging market economies: price- vs quantity-based measures," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 45-62, Bank for International Settlements.
  45. O’ Hara, Maureen & Wang, Yihui & (Alex) Zhou, Xing, 2018. "The execution quality of corporate bonds," Journal of Financial Economics, Elsevier, vol. 130(2), pages 308-326.
  46. Aysun, Uluc & Brady, Ryan & Honig, Adam, 2013. "Financial frictions and the strength of monetary transmission," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1097-1119.
  47. Song Han & Hao Zhou, 2016. "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-49, September.
  48. Boneva, Lena & Islami, Mevlud & Schlepper, Kathi, 2021. "Liquidity in the German corporate bond market: Has the CSPP made a difference?," Discussion Papers 08/2021, Deutsche Bundesbank.
  49. Christopher J. Cho & Timothy J. Norman & Manuel Nunes, 2023. "PRIME: A Price-Reverting Impact Model of a cryptocurrency Exchange," Papers 2305.07559, arXiv.org.
  50. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
  51. Robert J. Bianchi & Michael E. Drew & Eduardo Roca & Timothy Whittaker, 2017. "Risk factors in Australian bond returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 373-400, June.
  52. Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2014. "To disclose or not to disclose: Transparency and liquidity in the structured product market," CFS Working Paper Series 461, Center for Financial Studies (CFS).
  53. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  54. Anthony Jerome Anderson & Michael Stuart Long, 2017. "Explaining the On-The-Run Puzzle with Corporate Bonds," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-36, June.
  55. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  56. Petrasek, Lubomir, 2010. "Multimarket trading and the cost of debt: evidence from global bonds," Working Paper Series 1212, European Central Bank.
  57. Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
  58. Massa, Massimo & Yasuda, Ayako & Zhang, Lei, 2013. "Supply uncertainty of the bond investor base and the leverage of the firm," Journal of Financial Economics, Elsevier, vol. 110(1), pages 185-214.
  59. David Alaminos & María Belén Salas & Manuel A. Fernández-Gámez, 2024. "High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2263-2354, October.
  60. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
  61. Coen, Jamie & Lepore, Caterina & Schaanning, Eric, 2019. "Taking regulation seriously: fire sales under solvency and liquidity constraints," Bank of England working papers 793, Bank of England.
  62. Jack Bao & Maureen O'Hara & Xing Zhou, 2016. "The Volcker Rule and Market-Making in Times of Stress," Finance and Economics Discussion Series 2016-102, Board of Governors of the Federal Reserve System (U.S.).
  63. Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017. "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers 631, Bank for International Settlements.
  64. Petrasek, Lubomir, 2012. "Multimarket trading and corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2110-2121.
  65. Helwege, Jean & Wang, Liying, 2021. "Liquidity and price pressure in the corporate bond market: evidence from mega-bonds," Journal of Financial Intermediation, Elsevier, vol. 48(C).
  66. Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
  67. Helwege, Jean & Huang, Jing-Zhi & Wang, Yuan, 2014. "Liquidity effects in corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 105-116.
  68. Huang, Alan Guoming & Wermers, Russ & Xue, Jinming, 2023. ""Buy the rumor, sell the news": Liquidity provision by bond funds following corporate news events," CFR Working Papers 23-07, University of Cologne, Centre for Financial Research (CFR).
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