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Illiquidity or credit deterioration: A study of liquidity in the UScorporate bond market during
TLDR
In this paper, the authors investigate whether liquidity is an important price factor in the US corporate bond market and find that liquidity factors account for approximately 14% of the explained market-wide corporate yield spread changes.Abstract:
We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity eects are more pronounced in periods of nancial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide range of liquidity measures and nd that liquidity eects account for approximately 14% of the explained market-wide corporate yield spread changes. We conclude that the economic impact of the liquidity measures is signicantly larger in periods of crisis, and for speculative grade bonds.read more
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The crisis of fair-value accounting: Making sense of the recent debate
Christian Laux,Christian Leuz +1 more
TL;DR: The recent financial crisis has led to a vigorous debate about the pros and cons of fair value accounting (FVA) as discussed by the authors, and this debate presents a major challenge for FVA going forward and standard setters' push to extend FVA into other areas.
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Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis
TL;DR: In this article, the authors analyzed liquidity components of corporate bond spreads during 2005-2009 using a new robust illiquidity measure, and found that the spread contribution from illiquidities increases dramatically with the onset of the subprime crisis.
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Asset Management: A Systematic Approach to Factor Investing
TL;DR: In this paper, the authors discuss the role of the asset owner in the long-term performance of a portfolio, and propose a strategy for the long run of the portfolio management process.
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Are green bonds priced differently from conventional bonds
Britta Hachenberg,Dirk Schiereck +1 more
TL;DR: In this article, the authors compare the daily i-spreads of green-labeled and similar non-green-labeling bonds and look at their pricing differentials, and find that rating classes AA-BBB of green bonds as well as the full sample trade marginally tighter for the respective period compared to nongreen bonds of the same issuers.
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Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads
TL;DR: In this article, a model-free measure of euro-area market liquidity, and a measure of near-term interbank default risk are proposed to identify the contribution of these two effects on sovereign bond and interbank spreads, and the possibility that liquidity could be negatively correlated with marginal utility.
References
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ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Asset pricing and bid-ask spread
P Asquit,H Mendelson +1 more
TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
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A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
TL;DR: In this article, the effective bid-ask spread is measured by Spread = 2−cov where cov is the first-order serial covariance of price changes, and is shown empirically to be closely related to firm size.