This paper investigates fire sales of downgraded corporate bonds induced by regulatory
constraints imposed on insurance companies. As insurance companies hold over one-third …

Focusing on downgrades as stress events that drive the selling of corporate bonds, we show
that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated …

This paper documents significant momentum in a comprehensive sample of 81,491 US
corporate bonds with both transaction and dealer-quote data from 1973 to 2011. Momentum …

I propose a new measure that identifies when the market price of an over-the-counter traded
asset is below its fundamental value due to selling pressure. The measure is the difference …

We examine the extent to which institutional investors herd in the US corporate bond market
and the price impact of their herding behavior. We find that the level of institutional herding …

Liquidity provision for corporate bonds has become significantly more expensive after the
2008 crisis. Using index exclusions as a natural experiment during which uninformed index …

Corporate bond mutual funds engage in liquidity transformation, raising concerns among
academics and policy makers that large redemptions will lead to asset fire sales. We find …

We measure credit risk premia—prices for bearing corporate default risk in excess of
expected default losses—using Markit CDS and Moody's Analytics EDF data. We find …

This paper examines whether ETFs are a unique source of corporate bond fragility. Relative
to mutual funds, ETFs cater to high-liquidity-demand investors, facilitate positive feedback …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield
bond trades, but not for large investment grade bond trades, relative to before the crisis, and …