Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises☆
TLDR
In this paper, the authors investigate whether liquidity is an important price factor in the US corporate bond market, and find that liquidity effects account for approximately 14% of the explained market-wide corporate yield spread changes.About:
This article is published in Journal of Financial Economics.The article was published on 2012-07-01 and is currently open access. It has received 255 citations till now. The article focuses on the topics: Market liquidity & Corporate bond.read more
Citations
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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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How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
Jing-Zhi Huang,Ming Huang +1 more
TL;DR: The authors showed that credit risk accounts for only a small fraction of yield spreads for investment-grade bonds of all maturities, with the fraction lower for bonds of shorter maturity.
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Did Fair-Value Accounting Contribute to the Financial Crisis?
Christian Laux,Christian Leuz +1 more
TL;DR: In this paper, the authors examine descriptive and empirical evidence that sheds light on the role of fair-value accounting for U.S. banks in the 2008 financial crisis and conclude that reporting these losses under fair value accounting created additional problems.
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Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis
TL;DR: In this article, the authors analyzed the 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, and that flight-to-quality is confined to AAA-rated bonds.
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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.
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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Illiquidity and stock returns: cross-section and time-series effects $
TL;DR: In this article, the authors show that expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock ex ante excess return partly represents an illiquid price premium, which complements the cross-sectional positive return-illiquidity relationship.
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Asset pricing and the bid-ask spread
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.