The Illiquidity of Corporate Bonds

Abstract Only — The full paper PDF is not available in the registry. This XFID was minted from the paper's title, authors, and year. Where available, an abstract is provided below; the link to the publisher's record is canonical.

Abstract

ABSTRACT This paper examines the illiquidity of corporate bonds and its asset‐pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid–ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market‐level illiquidity explain a substantial part of the time variation in yield spreads of high‐rated (AAA through A) bonds, overshadowing the credit risk component. In the cross‐section, the bond‐level illiquidity measure explains individual bond yield spreads with large economic significance.

Source: resolved

Document Metadata

Issuer: Wiley
Document Type: Research / Academic Paper
Publication Year: 2011
Retrieved: 5 May 2026
Source: Contact XFID for Access
Record ID: XFBHDMP5XW
Validation: Inferred by XFID

Topics

Bond PricingCredit Spreads

Cited by (2)

Other RESEARCH documents in the registry that cite this work.

How to Cite This Record

Use the XFID in citations to create a stable, permanent reference that resolves to this registry entry regardless of the source URL.

Academic / report citation

Wiley (2011). The Illiquidity of Corporate Bonds. XFID: XF-BHDMP5X-W. Retrieved from https://xframework.id/XFBHDMP5XW

Identifier only

XF-BHDMP5X-W