Rainy Day Liquidity

References

• Adrian T, Boyarchenko N, Shachar O (2017) Dealer balance sheets and bond liquidity provision. J. Monetary Econom. 89:92–109.Crossref, Google Scholar
• Ambrose BW, Cai KN, Helwege J (2011) 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
• Anand A, Jotikasthira C, Venkataraman K (2021) Mutual fund trading style and bond market fragility. Rev. Financial Stud. 34(6):2993–3044.Crossref, Google Scholar
• Anand A, Irvine P, Puckett A, Venkataraman K (2013) Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. J. Financial Econom. 108(3):773–797.Crossref, Google Scholar
• Aragon GO, Strahan PE (2012) Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy. J. Financial Econom. 103(3):570–587.Crossref, Google Scholar
• Bao J, O’Hara M, Zhou XA (2018) The Volcker rule and corporate bond market making in times of stress. J. Financial Econom. 130(1):95–113.Crossref, Google Scholar
• Bessembinder H, Jacobsen S, Maxwell W, Venkataraman K (2018) Capital commitment and illiquidity in corporate bonds. J. Finance 73(4):1615–1661.Crossref, Google Scholar
• Brunnermeier MK, Pedersen LH (2008) Market liquidity and funding liquidity. Rev. Financial Stud. 22(6):2201–2238.Crossref, Google Scholar
• Cella C, Ellul A, Giannetti M (2013) Investors’ horizons and the amplification of market shocks. Rev. Financial Stud. 26(7):1607–1648.Crossref, Google Scholar
• Chen Q, Goldstein I, Jiang W (2010) Payoff complementarities and financial fragility: Evidence from mutual fund outflows. J. Financial Econom. 97(2):239–262.Crossref, Google Scholar
• Chen W, Hribar P, Melessa S (2023) Standard error biases when using generated regressors in accounting research. J. Accounting Res. 61(2):531–569.Crossref, Google Scholar
• Chen X, Huang J-Z, Sun Z, Yao T, Yu T (2020) Liquidity premium in the eye of the beholder: An analysis of the clientele effect in the corporate bond market. Management Sci. 66(2):932–957.Link, Google Scholar
• Chodorow-Reich G, Ghent A, Haddad V (2021) Asset insulators. Rev. Financial Stud. 34(3):1509–1539.Crossref, Google Scholar
• Choi J, Huh Y, Shin SS (2023) Customer liquidity provision: Implications for corporate bond transaction costs. Management Sci. 70(1):187–206.Google Scholar
• Chordia T, Roll R, Subrahmanyam A (2000) Commonality in liquidity. J. Financial Econom. 56(1):3–28.Crossref, Google Scholar
• Coppola A (2025) In safe hands: The financial and real impact of investor composition over the credit cycle. Rev. Financial Stud. 38(8):2275–2325.Google Scholar
• Corwin SA, Schultz P (2012) A simple way to estimate bid-ask spreads from daily high and low prices. J. Finance 67(2):719–760.Crossref, Google Scholar
• Dick-Nielsen J (2009) Liquidity biases in trace. J. Fixed Income 19(2):43–55.Crossref, Google Scholar
• Dick-Nielsen J (2014) How to clean enhanced trace data. Working paper, Copenhagen Business School, Denmark.Google Scholar
• Edwards AK, Harris LE, Piwowar MS (2007) Corporate bond market transaction costs and transparency. J. Finance 62(3):1421–1451.Crossref, Google Scholar
• Ellul A, Jotikasthira C, Lundblad CT, Wang Y (2015) Is historical cost accounting a panacea? Market stress, incentive distortions, and gains trading. J. Finance 70(6):2489–2538.Crossref, Google Scholar
• Ge S (2022) How financial constraints affect product pricing? Evidence from weather and life insurance premiums. J. Finance 77(1):449–503.Crossref, Google Scholar
• Goldstein M, Hotchkiss E (2020) Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds. J. Financial Econom. 135(1):16–40.Crossref, Google Scholar
• Goldstein I, Jiang H, Ng DT (2017) Investor flows and fragility in corporate bond funds. J. Financial Econom. 126(3):592–613.Crossref, Google Scholar
• González-Uribe J, Reyes S (2021) Identifying and boosting “gazelles”: Evidence from business accelerators. J. Financial Econom. 139(1):260–287.Crossref, Google Scholar
• Gründl H, Dong I, Gal J (2017) The evolution of insurer portfolio investment strategies for long-term investing. OECD J. Financial Market Trends 2016(2):1–55.Crossref, Google Scholar
• He Z, Kelly B, Manela A (2017) Intermediary asset pricing: New evidence from many asset classes. J. Financial Econom. 126(1):1–35.Crossref, Google Scholar
• Hendershott T, Li D, Livdan D, Schürhoff N (2017) Relationship trading in OTC markets. J. Finance 75(2):683–734.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
• Macchiavelli M, Zhou X (2021) Funding liquidity and market liquidity: The broker-dealer perspective. Management Sci. 68(5):3379–3398.Google Scholar
• Morris S, Shin HS (2004) Liquidity black holes. Rev. Finance 8(1):1–18.Crossref, Google Scholar
• Murphy K, Topel R (1985) Estimation and inference in two-step econometric models. J. Bus. Econom. Statist. 3(4):370–379.Crossref, Google Scholar
• National Association of Insurance Commissioners (2012) Risk-based capital (RBC) for insurers model act. Google Scholar
• Nikolova S, Wang L, Wu J (2020) Institutional allocations in the primary market for corporate bonds. J. Financial Econom. 137(2):470–490.Crossref, Google Scholar
• O’Hara M, Wang Y, Zhou X (2018) The execution quality of corporate bonds. J. Financial Econom. 130(2):308–326.Crossref, Google Scholar
• Ozdagli A, Velikov M (2020) Show me the money: The monetary policy risk premium. J. Financial Econom. 135(2):320–339.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
• Schestag R, Schuster P, Uhrig-Homburg M (2016) Measuring liquidity in bond markets. Rev. Financial Stud. 29(5):1170–1219.Crossref, Google Scholar
• Stock JH, Wright JH, Yogo M (2002) A survey of weak instruments and weak identification in generalized method of moments. J. Bus. Econom. Statist. 20(4):518–529.Crossref, Google Scholar
• Wong M (2020) Growth in the U.S. insurance industry’s exposure to bonds with NAIC 2 designations stabilizes at year-end 2019. NAIC Capital Market Special Report, Kansas City.Google Scholar