Li, Haitao; Wu, Chunchi; Shi, Jian - In: China Finance Review International 7 (2017) 2, pp. 134-162
Purpose The purpose of this paper is to estimate the effects of liquidity on corporate bond spreads. Design/methodology/approach Using a systematic liquidity factor extracted from the yield spreads between on- and off-the-run Treasury issues as a state variable, the authors jointly estimate the...