Liquidity Risk of Corporate Bond Returns: A Conditional Approach
NBER Working Paper No. 16394
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We thank an anonymous referee for useful comments. We thank Jason Sturgess and Yili Zhang for diligent research assistance. We are grateful to Banque de France grant for this study, and to Ruslan Goyenko for sharing with us his illiquidity series for the US treasuries. We are grateful for comments from Mark Seasholes and seminar participants at Moody’s KMV Annual Credit Risk conference (2007) hosted at NYU Stern, IRC risk management conference in Florence (2008), Arizona State University, Hong Kong University of Science and Technology, McGill, Tel Aviv University, University of Notre Dame, Barclays Global Investors (London), Southern Methodist University, Nanyang Technological University of Singapore, Penn State University, University of Houston, University of Texas at Dallas, University of Virginia (Darden), and University of Toronto (Rotman). This paper won the 2012 Crowell Memorial Prize (second place). All errors remain our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.