We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds. Our analysis explores time-series and cross-sectional aspects of corporate bond yield spreads, with the main focus being on the quantification of the impact of liquidity factors,...

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds. Our analysis explores time-series and cross-sectional aspects of corporate bond yield spreads, with the main focus being on the quantification of the impact of liquidity factors,...

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity eects are more pronounced in periods of nancial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000 bonds,...

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000...

I show that the pricing of a bond liquidity shock depends on the current size of a firm's bond rollover exposure. Using U.S. corporate bond transactions data, I find that a market liquidity shock induces a larger yield spread increase among firms with non-zero rollover exposures. This effect is...

We empirically study how underwriters' inventory capacity effects corporate bond offerings. We find that allocations to relationship investors increase when inventory capacity across underwriters is low. The outsourcing of inventory by underwriters causes offerings of syndicates with stronger...