An Empirical Model for Corporate Bond Liquidity as a Function of Bond Properties

2021 ◽  
Author(s):  
Kaihua Cai ◽  
Peter Yesley
Keyword(s):  
Empirical Model ◽  
Corporate Bond ◽  
Bond Properties ◽  
Bond Liquidity

Comparing Possible Proxies of Corporate Bond Liquidity

CFA Digest ◽  
2005 ◽  
Vol 35 (4) ◽  
pp. 29-30
Author(s):  
Joseph D.V. Vu
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Firm Visibility and Corporate Bond Liquidity

2012 ◽  
Author(s):  
Xing Zhou ◽  
Keh-Chian (Oliver) Chang ◽  
Simi Kedia ◽  
Jason Zhanshun Wei
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

scholarly journals Spread determinants in corporate bond pricing: The effect of market and liquidity risks

2020 ◽  
pp. 2-2
Author(s):  
Menevşe Özdemir-Dilidüzgün ◽  
Ayşe Altıok-Yılmaz ◽  
Elif Akben-Selçuk
Keyword(s):  
Risk Premium ◽  
Emerging Market ◽  
Corporate Bonds ◽  
Liquidity Risk ◽  
Market Liquidity ◽  
Corporate Bond ◽  
Bond Pricing ◽  
High Yield ◽  
Bond Liquidity ◽  
Investment Grade

This paper investigates the effect of market and liquidity risks on corporate bond pricing in Turkey, an emerging market, and in Europe. Results show that corporate bond returns have exposure to liquidity factors and not to market factors in both settings. Corporate bonds issued in Turkey have significant exposure to fluctuations in benchmark treasury bond liquidity and corporate bond market liquidity; while corporate bonds issued in Eurozone have exposure to equity market liquidity and are sensitive to fluctuations in a 10-year generic government bond liquidity. The total estimated liquidity risk premium is 0.7% per annum for Turkish ?A? and above graded corporate bonds, and 1.08% for the last investment grade level (BBB-) long term bonds. For Eurozone, the total liquidity risk premium is 0.27% for investment grade 5-10 year term bonds, 1.05% for high-yield 1-5 year term bonds and 1.02% for high-yield 5-10 year term category.

scholarly journals Comparing possible proxies of corporate bond liquidity

2005 ◽  
Vol 29 (6) ◽  
pp. 1331-1358 ◽  
Author(s):  
Patrick Houweling ◽  
Albert Mentink ◽  
Ton Vorst
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity
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