the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using … the regulatory version of TRACE data for the period 2002-2013, we find that following public registration of 144A bonds … results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity …

investors. We find that investor concentration also plays an important role in corporate bond pricing dynamics and secondary … market liquidity, even after controlling the shares of different investor types. First, we provide evidence that there is … considerable dispersion of investor concentrations across bonds within a firm. We then show that bonds with lower investor …

schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a … liquidity provision to force traders to trade at a lower price. By contrast, bonus caps make traders value the asset less than … investors. This should encourage liquidity provision and decrease prices. In contrast to these predictions, we find that under …

measure that captures company distress levels more accurately. It is found that liquidity, proxied by a trading noise … parameter, can distort asset pricing results through distress risk estimation, and that the existing academic debate between …-to-default measures. When our new liability and liquidity adjusted measure is used, a clearer picture of distress premium emerges. Our …

For each of the three major asset classes: stocks, bonds and treasury bills, this is the first article to present … return in excess of bond return ('the Danish equity risk premium relative to bonds') is zero at the 5% level of significance …

uncertainty has cross-market pricing influences that play an important role in understanding joint stock-bond price formation …

crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for …