Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015
volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and … Huang (2012), we apply a decomposition methodology to quantify the relative contributions of credit and illiquidity. Overall …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …