We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity
measures covering over 4,000 corporate bonds and spanning both investment grade and …

This paper provides an up‐to‐date survey of the main theoretical developments in
autoregressive conditional duration (ACD) modeling and empirical studies using financial …

Using a complete record of US over‐the‐counter (OTC) secondary trades in corporate
bonds, we estimate average transaction costs as a function of trade size for each bond that …

This paper compares the pricing of credit risk in the bond market and the fast-growing credit
default swap (CDS) market. The cointegration test confirms that the theoretical parity …

I explore which firm and loan characteristics decrease or exacerbate information asymmetry
in the trading of private debt. I find that loans of public firms, loans with an available credit …

Many have claimed that credit default swaps (CDSs) have lowered the cost of debt financing
to firms by creating new hedging opportunities and information for investors. This paper …

Using new econometric methods, we separately estimate average transaction costs for over
167,000 bonds from a 1‐year sample of all US municipal bond trades. Municipal bond …

Using TRACE data-a complete record of all US OTC secondary trades in corporate bonds-
we estimate average transaction cost as a function of trade size for each bond that traded …

This study analyzes the costs of trading bonds using previously unexamined quotations data
consolidated across several electronic bond trading venues. Much bond market trading is …

This study empirically investigates whether the US quantitative easing (QE) policy
significantly mitigates a firm's default risk by focusing on firms with differential levels of …