Liquidity Risk in the Corporate Bond Markets
- 1 January 2005
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
No abstract availableKeywords
This publication has 27 references indexed in Scilit:
- Trading activity and expected stock returnsJournal of Financial Economics, 2001
- Commonality in liquidityJournal of Financial Economics, 2000
- The Central Tendency: A Second Factor in Bond YieldsThe Review of Economics and Statistics, 1998
- Market microstructure and asset pricing: On the compensation for illiquidity in stock returnsJournal of Financial Economics, 1996
- Price Formation and Equilibrium Liquidity in Fragmented and Centralized MarketsThe Journal of Finance, 1993
- Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1The Review of Financial Studies, 1992
- Asset Returns with Transactions Cost and Uninsured Risk: A Stage III ExercisePublished by National Bureau of Economic Research ,1990
- Liquidity and Asset Prices: Financial Management ImplicationsFinancial Management, 1988
- Asset pricing and the bid-ask spreadJournal of Financial Economics, 1986
- Capital Market Equilibrium with Transaction CostsJournal of Political Economy, 1986