Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market

References

• Acharya VV, Pedersen LH (2005) Asset pricing with liquidity risk. J. Financial Econom. 77(2):375–410.Crossref, Google Scholar
• Ambrose BW, Cai KN, Helwege J (2012) Fallen angels and price pressure. J. Fixed Income 21(3):74–86.Crossref, Google Scholar
• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
• Amihud Y, Mendelson H (1986) Asset pricing and the bid-ask spread. J. Financial Econom. 17(2):223–249.Crossref, Google Scholar
• Amihud Y, Mendelson H, Pedersen LH (2012) Market Liquidity: Asset Pricing, Risk, and Crises (Cambridge University Press, Cambridge, UK).Crossref, Google Scholar
• Atkins AB, Dyl EA (1997) Transactions costs and holding periods for common stocks. J. Finance 52(1):309–325.Crossref, Google Scholar
• Bao J, Pan J, Wang J (2011) Liquidity of corporate bonds. J. Finance 66(3):911–946.Crossref, Google Scholar
• Beber A, Driessen J, Tuijp P (2012). Pricing liquidity risk with heterogeneous investment horizons. Working paper, Cass Business School, London.Google Scholar
• Becker B, Ivashina V (2015) Reaching for yield in the bond market. J. Finance 70(5):1863–1902.Crossref, Google Scholar
• Bessembinder H, Maxwell WF, Venkataraman K (2006) Market transparency, liquidity externalities, and institutional trading costs in corporate bonds. J. Financial Econom. 82(2):251–288.Crossref, Google Scholar
• Blume ME, Lim F, Mackinlay CA (1998) The declining credit quality of U.S. corporate debt: Myth or reality? J. Finance 53(4):1389–1413.Crossref, Google Scholar
• Brunnermeier MK, Pedersen LH (2008) Market liquidity and funding liqudity. Rev. Financial Stud. 22(6):2201–2238.Crossref, Google Scholar
• Campbell JY, Taksler GB (2003) Equity volatility and corporate bond yields. J. Finance 58(6):2321–2350.Crossref, Google Scholar
• Chakravarty S, Sarkar A (1999) Liquidity in U.S. fixed income markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets. Staff report 73, Federal Reserve Bank of New York, New York.Google Scholar
• Chen H, Cui R, He Z, Milbradt K (2017) Quantifying liquidity and default risks of corporate bonds over the business cycle. Rev. Financial Stud. 31(3):852–897.Crossref, Google Scholar
• Chen L, Lesmond DA, Wei J (2007) Corporate yield spreads and bond liquidity. J. Finance 62(3):119–149.Crossref, Google Scholar
• Chen X, Sun Z, Yao T, Yu T (2013) In search of habitat. Working paper, University of Iowa, Iowa City.Google Scholar
• Collin-Dufresne P, Goldstein RS, Martin SJ (2001) The determinants of credit spread changes. J. Finance 56(6):2177–2207.Crossref, Google Scholar
• Constantinides GM (1986) Capital market equilibrium with transaction costs. J. Political Econom. 94(4):842–862.Crossref, Google Scholar
• Dick-Nielsen J (2014) How to clean Enhanced TRACE data. Working paper, Copenhagen Business School, Copenhagen.Google Scholar
• Dick-Nielsen J, Feldhütter P, Lando D (2012) Corporate bond liquidity before and after the onset of the subprime crisis. J. Financial Econom. 103(3):471–492.Crossref, Google Scholar
• Duffee GR (1998) The relationship between treasury yields and corporate bond yield spreads. J. Finance 53(6):2225–2241.Crossref, Google Scholar
• Duffie D, Gârleanu N, Pedersen LH (2005) Over-the-counter markets. Econometrica 73(6):1815–1847.Crossref, Google Scholar
• Edwards AK, Harris LE, Piwowar MS (2007) Corporate bond market transaction cost and transparency. J. Finance 62(3):1421–1451.Crossref, Google Scholar
• Ellul A, Jotikasthira C, Lundblad CT (2011) Regulatory pressure and fire sales in the corporate bond market. J. Financial Econom. 101(3):596–620.Crossref, Google Scholar
• Eom YH, Helwege J, Huang J-Z (2004) Structural models of corporate bond pricing: An empirical analysis. Rev. Financial Stud. 17(2):499–544.Crossref, Google Scholar
• Ericsson J, Renault O (2006) Liquidity and credit risk. J. Finance 61(5):2219–2250.Crossref, Google Scholar
• Feldhütter P (2012) The same bond at different prices: Identifying search frictions and selling pressures. Rev. Financial Stud. 25(4):1155–1206.Crossref, Google Scholar
• Friewald N, Jankowitsch R, Subrahmanyam MG (2012) Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises. J. Financial Econom. 105(1):18–36.Crossref, Google Scholar
• Goldstein M, Hotchkiss E, Sirri E (2007) Transparency and liquidity: A controlled experiment on corporate bonds. Rev. Financial Stud. 20(2):235–373.Crossref, Google Scholar
• Han S, Zhou H (2016) Effects of liquidity on the non-default component of corporate yield spreads: Evidence from intraday transactions data. Quart. J. Finance 6(3):1650012.Crossref, Google Scholar
• He Z, Milbradt K (2014) Endogenous liquidity and defaultable bonds. Econometrica 82(4):1443–1508.Crossref, Google Scholar
• He Z, Xiong W (2012) Rollover risk and credit risk. J. Finance 67(2):391–430.Crossref, Google Scholar
• Helwege J, Huang J-Z, Wang Y (2014) Liquidity effects in corporate bond spreads. J. Banking Finance 45(1):105–116.Crossref, Google Scholar
• Hong G, Warga A (2000) An empirical study of bond market transactions. Financial Analysts J. 56(2):32–46.Crossref, Google Scholar
• Hotchkiss E, Jostova G (2007) Determinants of corporate bond trading: A comprehensive analysis. Working paper, Boston College, Boston.Google Scholar
• Huang J-Z, Huang M (2012) How much of the corporate-treasury yield spread is due to credit risk. Rev. Asset Pricing Stud. 2(2):153–202.Crossref, Google Scholar
• Jang BG, Koo HK, Liu H, Loewenstein M (2007) Liquidity premia and transaction costs. J. Finance 62(5):2329–2366.Crossref, Google Scholar
• Lesmond DA, Ogden JP, Trzcinka CA (1999) A new estimate of transaction costs. Rev. Financial Stud. 12(5):1113–1141.Crossref, Google Scholar
• Lin H, Wang J, Wu C (2011) Liquidity risk and expected corporate bond returns. J. Financial Econom. 99(3):628–650.Crossref, Google Scholar
• Longstaff FA, Mithal S, Neis E (2005) Corporate yield spreads: Default risk or liquidity? New evidence from the credit-default-swap market. J. Finance 60(5):2213–2253.Crossref, Google Scholar
• Mahanti S, Nashikkar A, Subramanyam MG, Chacko G, Mallik G (2008) Latent liquidity: A new measure of liquidity with an application to corporate bonds. J. Financial Econom. 88(2):272–298.Crossref, Google Scholar
• Merton R (1974) On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29(2):449–470.Google Scholar
• Nashikkar A, Subrahmanyam MG, Mahanti S (2011) Liquidity and arbitrage in the market for credit risk. J. Financial Quant. Anal. 46(3):627–656.Crossref, Google Scholar
• Petersen MA (2009) Estimating standard errors in finance panel data sets: Comparing approaches. Rev. Financial Stud. 22(1):435–480.Crossref, Google Scholar
• Richardson SA, Saffi PA, Sigurdsson K (2017) Deleveraging risk. J. Financial Quant. Anal. 52(6):2491–2522.Crossref, Google Scholar
• Roll R (1984) A simple implicit measure of the effective bid-ask spread in an efficient market. J. Finance 39(4):1127–1139.Crossref, Google Scholar
• Rossi M (2014) Realized volatility, liquidity, and corporate yield spreads. Quart. J. Finance 4(1):1450004.Crossref, Google Scholar
• Schaefer S, Strebulaev I (2008) Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds. J. Financial Econom. 90(1):1–19.Crossref, Google Scholar
• Schestag R, Schuster P, Uhrig-Homburg M (2016) Measuring liquidity in bond markets. Rev. Financial Stud. 29(5):1170–1219.Crossref, Google Scholar
• Schultz P (2001) Corporate bond trading costs: A peek behind the curtain. J. Finance 56(2):677–698.Crossref, Google Scholar
• Schuster P, Trapp M, Uhrig-Homburg M (2018) The term structure of bond liquidity. J. Financial Quant. Anal. 53(5):2161–2197.Google Scholar
• Vayanos D, Wang T (2007) Search and endogenous concentration of liquidity in asset markets. J. Econom. Theory 136(1):66–104.Crossref, Google Scholar