PT  - JOURNAL ARTICLE
AU  - Antonio Díaz
AU  - Ana Escribano
TI  - Credit Rating and Liquidity in the US Corporate Bond Market
AID  - 10.3905/jfi.2019.28.4.046
DP  - 2019 Mar 31
TA  - The Journal of Fixed Income
PG  - 46--59
VI  - 28
IP  - 4
4099  - https://pm-research.com/content/28/4/46.short
4100  - https://pm-research.com/content/28/4/46.full
AB  - This article examines the relationship, commonly assumed by the literature, between credit rating and liquidity. Analyzing sixteen proxies of (il)liquidity encompassed in five dimensions of liquidity from transaction data, the authors observe that credit ratings can be grouped into four blocks based on their liquidity when working with bond-level data. The blocks are AAA/AA and A/BBB for investment-grade bonds, and BB/B and “CCC or lower” for speculative-grade bonds. However, when working with rating-level data, significant differences in liquidity appear between all rating categories. These liquidity differences are not homogeneous when a distinction is made between dimensions of liquidity.TOPICS: Fixed income and structured finance, risk management, information providers/credit ratings