Endogenous Liquidity and Defaultable Bonds
---- Acknowledgements -----
For helpful comments, we thank Nittai Bergman (MIT), Bruce Carlin (UCLA), Hui Chen (MIT), Richard Green (CMU), Nicolae Garleanu (UC Berkeley), Barney Hartman-Glaser (Duke), Burton Hollifield (CMU), Gustavo Manso (UC Berkeley), Holger Mueller (NYU), and seminar participants of the MIT Sloan lunchtime workshop, NYU lunchtime workshop, Columbia GSB lunchtime workshop, NBER Microstructure meeting, ASU winter conference, Duke-UNC asset pricing conference, Texas Finance Festival, UNC, Boston University, University of Colorado at Boulder, INSEAD, Imperial College London, UCLA Anderson, WFA 2012, SED 2012, NBER SI Asset Pricing meeting, and Gerzensee ESSFM 2012. We are especially grateful to Rui Cui for excellent research assistance. Zhiguo He acknowledges financial support from the Center for Research in Security Prices at the University of Chicago Booth School of Business. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.