Article ID Journal Published Year Pages File Type
961039 Journal of Financial Intermediation 2012 26 Pages PDF
Abstract
► Equity volatility matters more than bond liquidity in bond pricing. ► Both shocks are higher for distress portfolios. ► Volatility effects matter more for distressed bonds and during distressed regimes. ► Liquidity is critical for less distressed bonds and during low distress regimes.
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Social Sciences and Humanities Business, Management and Accounting Strategy and Management
Preview
Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market
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