RT Journal Article SR Electronic T1 Liquidity Shocks in the Secondary Corporate Loan Market JF The Journal of Fixed Income FD Institutional Investor Journals SP 53 OP 72 DO 10.3905/jfi.2017.26.4.053 VO 26 IS 4 A1 John Anthony A1 Paul Docherty A1 Doowon Lee A1 Abul Shamsuddin YR 2017 UL https://pm-research.com/content/26/4/53.abstract AB This article examines the influence of liquidity risk on the U.S. secondary corporate loan market (herein loan market). The authors empirically disentangle the impact of both loan-level liquidity shocks and systematic liquidity risk from default risk. Loans that experience shocks to either liquidity or default risk experience ongoing price declines, complementing evidence presented elsewhere of price momentum in loan markets. The prices of loans with high liquidity risk are significantly discounted when market liquidity is low, consistent with the time-varying funding liquidity constraints of financial intermediaries. In keeping with a close link between high risk debt markets and equity markets, there is evidence that equity market risk is priced in the loan market.TOPICS: Fixed income and structured finance, risk management