Nothing Special   »   [go: up one dir, main page]
create a website
Price dispersion in OTC markets: A new measure of liquidity. (2011). Nashikkar, Amrut ; Jankowitsch, Rainer ; Subrahmanyam, Marti G..
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:35:y:2011:i:2:p:343-357.

Full description at Econpapers || Download paper

Cited: 81

Citations received by this document

Cites: 44

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. .

    Full description at Econpapers || Download paper

  2. Quantitative easing, the repo market, and the term structure of interest rates. (2023). Subrahmanyam, Marti G ; Pelizzon, Loriana ; Jappelli, Ruggero.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:395.

    Full description at Econpapers || Download paper

  3. Tunisian corporate bond market liquidity: a qualitative approach. (2023). Dabbou, Halim ; Berrich, Olfa.
    In: Qualitative Research in Financial Markets.
    RePEc:eme:qrfmpp:qrfm-04-2021-0057.

    Full description at Econpapers || Download paper

  4. Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x.

    Full description at Econpapers || Download paper

  5. The behavior and determinants of illiquidity in the non-fungible tokens (NFTs) market. (2023). Yildiz, Serhat ; Wilkoff, Sean.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000849.

    Full description at Econpapers || Download paper

  6. On the solution of games with arbitrary payoffs: An application to an over-the-counter financial market. (2022). Papavassiliou, Vassilios ; Leventides, John ; Kollias, Iraklis.
    In: Working Papers.
    RePEc:ucd:wpaper:202302.

    Full description at Econpapers || Download paper

  7. The liquidity impact of Chinese green bonds spreads. (2022). Lin, Boqiang ; Su, Tong.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:82:y:2022:i:c:p:318-334.

    Full description at Econpapers || Download paper

  8. Liquidity dimensions in the U.S. corporate bond market. (2022). Escribano, Ana ; Diaz, Antonio.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:80:y:2022:i:c:p:1163-1179.

    Full description at Econpapers || Download paper

  9. FX spot and swap market liquidity spillovers. (2022). Sushko, Vladyslav ; Krohn, Ingomar.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001273.

    Full description at Econpapers || Download paper

  10. Size-adapted bond liquidity measures and their asset pricing implications. (2022). Schuster, Philipp ; Reichenbacher, Michael.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:146:y:2022:i:2:p:425-443.

    Full description at Econpapers || Download paper

  11. Bond liquidity and investment. (2022). Wang, Yuan ; Mkrtchyan, Anahit ; Field, Laura Casares.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:145:y:2022:i:c:s037842662200231x.

    Full description at Econpapers || Download paper

  12. Sovereign issuers, incentives and liquidity: The case of the Danish sovereign bond market. (2022). Subrahmanyam, Marti G ; Staghoj, Jonas ; Ochs, Christian ; Eisl, Alexander.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:140:y:2022:i:c:s037842662200084x.

    Full description at Econpapers || Download paper

  13. OTC Microstructure in a period of stress: A Multi-layered network approach. (2022). Vasios, Michalis ; Joseph, Andreas.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426621003514.

    Full description at Econpapers || Download paper

  14. Information and liquidity of over-the-counter securities: Evidence from public registration of Rule 144A bonds. (2022). Wang, KE ; Kalimipalli, Madhu ; Huang, Alan Guoming ; Han, Song.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:59:y:2022:i:pb:s1386418121000379.

    Full description at Econpapers || Download paper

  15. Standardization, transparency initiatives, and liquidity in the CDS market. (2022). Daures-Lescourret, Laurence ; Fulop, Andras.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418122000106.

    Full description at Econpapers || Download paper

  16. Comparing search and intermediation frictions across markets. (2022). Üslü, Semih ; Pinter, Gabor.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0974.

    Full description at Econpapers || Download paper

  17. Clients Connections: Measuring the Role of Private Information in Decentralized Markets. (2022). Pinter, Gabor ; Kondor, Peter.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:77:y:2022:i:1:p:505-544.

    Full description at Econpapers || Download paper

  18. Lighting up the dark: Liquidity in the German corporate bond market. (2021). Subrahmanyam, Marti G ; Schneider, Michael ; Pelizzon, Loriana ; Gunduz, Yalin.
    In: Discussion Papers.
    RePEc:zbw:bubdps:212021.

    Full description at Econpapers || Download paper

  19. Financial Intermediation Chains in an Over-the-Counter Market. (2021). Yan, Hongjun ; Wei, Bin ; Shen, JI.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:7:p:4623-4642.

    Full description at Econpapers || Download paper

  20. The Option Value of Municipal Liquidity: Evidence from Federal Lending Cutoffs during COVID-19. (2021). Shachar, Or ; Hyman, Benjamin ; Haughwout, Andrew.
    In: Staff Reports.
    RePEc:fip:fednsr:93156.

    Full description at Econpapers || Download paper

  21. Liquidity risk and corporate bond yield spread: Evidence from China. (2021). Jiang, Lunan ; Chen, Yinghui.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:21:y:2021:i:4:p:1117-1151.

    Full description at Econpapers || Download paper

  22. Measuring Market Liquidity and Liquidity Mismatches across Sectors. (2021). Ponomarenko, Alexey ; Burova, Anna ; Makhankova, Natalia ; Akhmetov, Arthur.
    In: Bank of Russia Working Paper Series.
    RePEc:bkr:wpaper:wps82.

    Full description at Econpapers || Download paper

  23. Measuring the Perceived Liquidity of the Corporate Bond Market. (2020). Sunderam, Adi ; Chernenko, Sergey.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:27092.

    Full description at Econpapers || Download paper

  24. Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024.

    Full description at Econpapers || Download paper

  25. OTC premia. (2020). Ranaldo, Angelo ; Vasios, Michalis ; Cenedese, Gino.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:136:y:2020:i:1:p:86-105.

    Full description at Econpapers || Download paper

  26. Financing dies in darkness? The impact of newspaper closures on public finance. (2020). Gao, Pengjie ; Murphy, Dermot ; Lee, Chang .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:135:y:2020:i:2:p:445-467.

    Full description at Econpapers || Download paper

  27. Wheres the greenium?. (2020). Watts, Edward M ; Larcker, David F.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:69:y:2020:i:2:s0165410120300148.

    Full description at Econpapers || Download paper

  28. Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets. (2020). Szersze, Pawe J ; Aramonte, Sirio.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300288.

    Full description at Econpapers || Download paper

  29. Informed trading and the dynamics of client-dealer connections in corporate bond markets. (2020). Pinter, Gabor ; Czech, Robert.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0895.

    Full description at Econpapers || Download paper

  30. FX spot and swap market liquidity spillovers. (2020). Sushko, Vladyslav ; Krohn, Ingomar.
    In: BIS Working Papers.
    RePEc:bis:biswps:836.

    Full description at Econpapers || Download paper

  31. Illiquidity transmission from spot to futures markets. (2019). Theissen, Erik ; Korn, Olaf ; Krischak, Paolo .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1228-1249.

    Full description at Econpapers || Download paper

  32. Multiplex network analysis of the UK over?the?counter derivatives market. (2019). Ferrara, Gerardo ; Bianconi, Ginestra ; Bardoscia, Marco.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:24:y:2019:i:4:p:1520-1544.

    Full description at Econpapers || Download paper

  33. A Monetary Model of Bilateral Over-the-Counter Markets. (2019). Zhang, Shengxing ; Lagos, Ricardo.
    In: Review of Economic Dynamics.
    RePEc:red:issued:18-285.

    Full description at Econpapers || Download paper

  34. Demystifying Yield Spread on Corporate Bonds Trades in India. (2019). Mukherjee, Kedar Nath.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:26:y:2019:i:2:d:10.1007_s10690-018-09266-w.

    Full description at Econpapers || Download paper

  35. Liquidity Risk and Corporate Bond Yield Spread: Evidence from China. (2019). Jiang, Lunan ; Chen, Yinghui.
    In: CFDS Discussion Paper Series.
    RePEc:fds:dpaper:201909.

    Full description at Econpapers || Download paper

  36. Semiparametric estimation of the bid–ask spread in extended roll models. (2019). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:160-178.

    Full description at Econpapers || Download paper

  37. OTC microstructure in a period of stress: a multi‑layered network approach. (2019). Vasios, Michalis ; Joseph, Andreas ; Tanner, John ; Shreyas, Ujwal ; Maizels, Olga.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0832.

    Full description at Econpapers || Download paper

  38. Lighting up the dark: Liquidity in the German corporate bond market. (2018). Schneider, Michael ; Pelizzon, Loriana ; Gündüz, Yalin ; Subrahmanyam, Marti G ; Ottonello, Giorgio ; Gunduz, Yalin.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:230.

    Full description at Econpapers || Download paper

  39. OTC Premia. (2018). Ranaldo, Angelo ; Cenedese, Gino ; Vasios, Michalis.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:18.

    Full description at Econpapers || Download paper

  40. A Monetary Model of Bilateral Over-the-Counter Markets. (2018). Zhang, Shengxing ; Lagos, Ricardo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25239.

    Full description at Econpapers || Download paper

  41. The Global Single and Regulated Market Framework of Financial Products and the International Economic Policies: Mathematical Approach of the Model. (2018). Panagopoulos, Athanasios G ; Dokas, Ioannis ; Chatzigagios, Thomas.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:9:y:2018:i:2:p:1-22.

    Full description at Econpapers || Download paper

  42. Financial Intermediation Chains in an OTC Market. (2018). Yan, Hongjun ; Wei, Bin ; Shen, JI.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2018-15.

    Full description at Econpapers || Download paper

  43. Liquidity in the repo market. (2018). Fuhrer, Lucas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:84:y:2018:i:c:p:1-22.

    Full description at Econpapers || Download paper

  44. The execution quality of corporate bonds. (2018). Ohara, Maureen ; Zhou, Xing ; Wang, Yihui.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:130:y:2018:i:2:p:308-326.

    Full description at Econpapers || Download paper

  45. Funding constraints and liquidity in two-tiered OTC markets. (2018). Benos, Evangelos ; Ike, Filip.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:39:y:2018:i:c:p:24-43.

    Full description at Econpapers || Download paper

  46. Bid- and ask-side liquidity in the NYSE limit order book. (2018). Cenesizoglu, Tolga ; Grass, Gunnar .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:38:y:2018:i:c:p:14-38.

    Full description at Econpapers || Download paper

  47. Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market. (2018). Hai, Ly Thi ; Tran, Hoa Xuan ; Phuong, Thao Thi.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:37:y:2018:i:c:p:114-133.

    Full description at Econpapers || Download paper

  48. OTC premia. (2018). Vasios, Michalis ; Ranaldo, Angelo ; Cenedese, Gino.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0751.

    Full description at Econpapers || Download paper

  49. Explaining the On-The-Run Puzzle with Corporate Bonds. (2017). Anderson, Anthony Jerome ; Long, Michael Stuart.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:20:y:2017:i:02:n:s0219091517500084.

    Full description at Econpapers || Download paper

  50. ETF arbitrage under liquidity mismatch. (2017). Zeng, Yao ; Pan, Kevin .
    In: ESRB Working Paper Series.
    RePEc:srk:srkwps:201759.

    Full description at Econpapers || Download paper

  51. Liquidity in the Repo Market. (2017). Fuhrer, Lucas.
    In: Working Papers.
    RePEc:snb:snbwpa:2017-06.

    Full description at Econpapers || Download paper

  52. Measuring Transaction Costs in the Absence of Timestamps. (2017). Zikes, Filip.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-45.

    Full description at Econpapers || Download paper

  53. Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

    Full description at Econpapers || Download paper

  54. Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:33:y:2017:i:c:p:42-74.

    Full description at Econpapers || Download paper

  55. Understanding transactions prices in the credit default swaps market. (2017). Tang, Dragon Yongjun ; Yan, Hong.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:32:y:2017:i:c:p:1-27.

    Full description at Econpapers || Download paper

  56. Liquidity commonality in the secondary corporate loan market. (2017). Anthony, John ; Shamsuddin, Abul ; Lee, Doowon ; Docherty, Paul.
    In: Economics Letters.
    RePEc:eee:ecolet:v:161:y:2017:i:c:p:10-14.

    Full description at Econpapers || Download paper

  57. Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging. (2017). Vasios, Michalis ; Shreyas, Ujwal ; Joseph, Andreas ; Tanner, John ; Cielinska, Olga .
    In: Bank of England Financial Stability Papers.
    RePEc:boe:finsta:0041.

    Full description at Econpapers || Download paper

  58. Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging. (2017). Cielinska, Olga ; Vasios, Michalis ; Tanner, John ; Shreyas, Ujwal ; Joseph, Andreas .
    In: IFC Bulletins chapters.
    RePEc:bis:bisifc:43-23.

    Full description at Econpapers || Download paper

  59. Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data. (2016). Han, Song ; Zhou, Hao.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:06:y:2016:i:03:n:s2010139216500129.

    Full description at Econpapers || Download paper

  60. Financial Intermediation Chains in an OTC Market. (2016). Wei, Bin ; Shen, JI ; Yan, Hongjun .
    In: MPRA Paper.
    RePEc:pra:mprapa:74925.

    Full description at Econpapers || Download paper

  61. Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?. (2016). Pelizzon, Loriana ; Uno, Jun ; Tomio, Davide ; Subrahmanyam, Marti G.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:122:y:2016:i:1:p:86-115.

    Full description at Econpapers || Download paper

  62. Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports. (2016). Loon, Yee Cheng ; Zhong, Zhaodong .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:3:p:645-672.

    Full description at Econpapers || Download paper

  63. Does central clearing benefit risky dealers?. (2016). Mayordomo, Sergio ; Posch, Peter N.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:42:y:2016:i:c:p:91-100.

    Full description at Econpapers || Download paper

  64. Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act. (2016). Vasios, Michalis ; Payne, Richard ; Benos, Evangelos.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0580.

    Full description at Econpapers || Download paper

  65. Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?. (2015). Pelizzon, Loriana ; Tomio, Davide ; Subrahmanyam, Marti G. ; Uno, Jun.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:95.

    Full description at Econpapers || Download paper

  66. Investor sentiment, flight-to-quality, and corporate bond comovement. (2015). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1306r3.

    Full description at Econpapers || Download paper

  67. Heterogeneity in decentralized asset markets. (2015). Weill, Pierre-Olivier ; Lester, Benjamin ; Hugonnier, Julien.
    In: Working Papers.
    RePEc:fip:fedpwp:15-22.

    Full description at Econpapers || Download paper

  68. To disclose or not to disclose: Transparency and liquidity in the structured product market. (2014). Subrahmanyam, Marti G. ; Jankowitsch, Rainer ; Friewald, Nils.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:461.

    Full description at Econpapers || Download paper

  69. Investor sentiment, flight-to-quality, and corporate bond comovement. (2014). Kempf, Alexander ; Bethke, Sebastian ; Gehde-Trapp, Monika.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1306r2.

    Full description at Econpapers || Download paper

  70. The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W..
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000044.

    Full description at Econpapers || Download paper

  71. Heterogeneity in Decentralized Asset Markets. (2014). Weill, Pierre-Olivier ; Lester, Benjamin ; Hugonnier, Julien.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20746.

    Full description at Econpapers || Download paper

  72. The determinants of recovery rates in the US corporate bond market. (2014). Nagler, Florian ; Jankowitsch, Rainer ; Subrahmanyam, Marti G..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:114:y:2014:i:1:p:155-177.

    Full description at Econpapers || Download paper

  73. The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market. (2014). Loon, Yee Cheng ; Zhong, Zhaodong Ken .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:112:y:2014:i:1:p:91-115.

    Full description at Econpapers || Download paper

  74. Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads. (2013). Perez, M. Fabricio ; Nayak, Subhankar ; Kalimipalli, Madhu .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:2969-2990.

    Full description at Econpapers || Download paper

  75. Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises. (2012). Subrahmanyam, Marti G. ; Jankowitsch, Rainer ; Friewald, Nils.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:105:y:2012:i:1:p:18-36.

    Full description at Econpapers || Download paper

  76. Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?. (2012). Voronkova, Svitlana .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:1:p:8-25.

    Full description at Econpapers || Download paper

  77. Zum Einfluss kurzfristiger Fremdfinanzierungsmöglichkeiten auf die Portfoliooptimierung mit illiquiden Assets. (2011). Diepold, Dennis.
    In: Die Unternehmung - Swiss Journal of Business Research and Practice.
    RePEc:nms:untern:10.5771/0042-059x-2011-4-380.

    Full description at Econpapers || Download paper

  78. Liquidity and asset pricing: Evidence from the Hong Kong stock market. (2011). Tam, Lewis ; Lam, Keith S. K., ; Tam, Lewis H. K., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:9:p:2217-2230.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Amihud, Y. Illiquidity and stock returns: Cross-section and time series effects. 2002 Journal of Financial Markets. 5 31-56

  2. Amihud, Y. ; Mendelson, H. Dealership market: Market making with inventory. 1980 Journal of Financial Economics. 8 31-53

  3. Amihud, Y. ; Mendelson, H. ; Pedersen, L.H. Liquidity and asset prices. 2006 Foundations and Trends in Finance. 1 269-364

  4. Ashcraft, A.B. ; Duffie, D. Systemic illiquidity in the federal funds market. 2007 American Economic Review. 97 221-225

  5. Bagehot, W. The only game in town. 1971 Financial Analysts Journal. 27 12-22
    Paper not yet in RePEc: Add citation now
  6. Bao, J., Pan, J., Wang, J., 2008. Liquidity of corporate bonds. Working Paper, MIT Sloan School of Management.
    Paper not yet in RePEc: Add citation now
  7. Bliss, R.R. Testing term structure estimation methods. 1997 Advances in Futures and Options Research. 9 197-232
    Paper not yet in RePEc: Add citation now

  8. Bollen, N.P.B. ; Smith, T. ; Whaley, R.E. Modeling the bid/ask spread: Measuring the inventory-holding premium. 2004 Journal of Financial Economics. 72 97-141

  9. Chen, L. ; Lesmond, D.A. ; Wei, J. Corporate yield spreads and bond liquidity. 2007 Journal of Finance. 62 119-149

  10. Collin-Dufresne, P. ; Goldstein, R.S. ; Martin, J.S. The determinants of credit spread changes. 2001 Journal of Finance. 56 2177-2207

  11. De Jong, F., Driessen, J., 2006. Liquidity risk premia in corporate bond markets. Working Paper, University of Amsterdam.
    Paper not yet in RePEc: Add citation now

  12. Duffie, D. ; Garleanu, N. ; Pedersen, L.H. Over the counter markets. 2005 Econometrica. 73 1815-1847

  13. Duffie, D. ; Garleanu, N. ; Pedersen, L.H. Valuation in over the counter markets. 2007 Review of Financial Studies. 20 1865-1900

  14. Easley, D. ; O’Hara, M. Price, trade size, and information in securities markets. 1987 Journal of Financial Economics. 19 69-90

  15. Edwards, A. ; Harris, L. ; Piwowar, M. Corporate bond market transaction costs and transparency. 2007 Journal of Finance. 62 1421-1451

  16. Elton, E.J. ; Gruber, M. ; Agrawal, D. ; Mann, C. Explaining the rate spread on corporate bonds. 2001 Journal of Finance. 56 247-277

  17. Eom, Y. ; Helwege, H.J. ; Huang, J.Z. Structural models of corporate bond pricing: An empirical investigation. 2004 Review of Financial Studies. 17 499-544

  18. Forte, S. ; Pena, J.I. Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS. 2009 Journal of Banking and Finance. 33 2013-2025

  19. Garbade, K.D. ; Silber, W.L. Price dispersion in the government securities market. 1976 Journal of Political Economy. 84 721-740

  20. Garman, M. Market microstructure. 1976 Journal of Financial Economics. 3 257-275

  21. Glosten, L.R. ; Milgrom, P.R. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. 1985 Journal of Financial Economics. 14 71-100

  22. Goldstein, M.A., Hotchkiss, E.S., 2007. Dealer behavior and the trading of newly issued corporate bonds. Working Paper.
    Paper not yet in RePEc: Add citation now

  23. Green, R.C. Presidential address: Issuers, underwriter syndicates, and aftermarket transparency. 2007 Journal of Finance. 62 1529-1550

  24. Green, R.C. ; Hollifield, B.N.S. Dealer intermediation and price behavior in the aftermarket for new bond issues. 2007 Journal of Financial Economics. 86 643-682

  25. Green, R.C. ; Hollifield, B.N.S. Financial intermediation and the costs of trading in an opaque market. 2007 Review of Financial Studies. 20 274-314

  26. Grossman, S.J. ; Miller, M.H. Liquidity and market structure. 1988 Journal of Finance. 42 617-633

  27. Hansch, O. ; Naik, N.Y. ; Viswanathan, S. Do inventories matter in dealership markets? Evidence from the London stock exchange. 1998 Journal of Finance. 53 1623-1656

  28. Ho, T. ; Stoll, H.R. On dealer markets under competition. 1980 Journal of Finance. 35 259-267

  29. Ho, T. ; Stoll, H.R. The dynamics of dealer markets under competition. 1983 Journal of Finance. 38 1053-1074

  30. Houweling, P. ; Mentink, A. ; Vorst, T. Comparing possible proxies of corporate bond liquidity. 2005 Journal of Banking and Finance. 29 1331-1358

  31. Huang, R.D. ; Stoll, H.R. The components of the bid–ask spread: A general approach. 1997 Review of Financial Studies. 10 995-1034
    Paper not yet in RePEc: Add citation now

  32. Kyle, A.S. Continuous auctions and insider trading. 1985 Econometrica. 53 1315-1335

  33. Liu, J. ; Longstaff, F.A. ; Mandell, R.E. The market price of credit risk: An empirical analysis of interest rate swap spreads. 2004 Journal of Business. 79 2337-2359
    Paper not yet in RePEc: Add citation now

  34. Longstaff, F. ; Mithal, S. ; Neis, E. Corporate yield spreads: Default risk or liquidity? New evidence from the credit-default swap market. 2005 Journal of Finance. 60 2213-2253

  35. Lu, C. ; Chen, T. ; Liao, H. Information uncertainty, information asymmetry and corporate bond yield spreads. 2010 Journal of Banking and Finance. 34 2265-2279

  36. Mahanti, S. ; Nashikkar, A. ; Subrahmanyam, M. ; Chacko, G. ; Mallik, G. Latent liquidity: A new measure of liquidity, with an application to corporate bonds. 2008 Journal of Financial Economics. 88 272-298

  37. Markit, 2006. Markit.com User Guide – Version 8.0 March 2006, User Guide. Markit Group Limited.
    Paper not yet in RePEc: Add citation now
  38. National Association of Securities Dealers, 2006. Trace Fact Book – 2006, Fact Book. NASD.
    Paper not yet in RePEc: Add citation now

  39. Nippani, S. ; Smith, S.D. The increasing default risk of us treasury securities due to the financial crisis. 2010 Journal of Banking and Finance. 34 2472-2480

  40. Perraudin, W., Taylor, A., 2003. Liquidity and bond market spreads. Working Paper, Bank of England.
    Paper not yet in RePEc: Add citation now

  41. Qi, H. ; Liu, S. ; Wu, C. Structural models of corporate bond pricing with personal taxes. 2010 Journal of Banking and Finance. 34 1700-1718

  42. Roll, R. A simple implicit measure of the effective bid–ask spread in an efficient market. 1984 Journal of Finance. 39 1127-1139

  43. Sarkar, A. ; Shrader, J. Financial amplification mechanisms and the federal reserves supply of liquidity during the crisis. 2010 Federal Reserve Bank of New York Staff Reports. 431 1-44

  44. Tang, D.Y., Yan, H., 2008. Liquidity and credit default swap spreads. Working Paper, University of South Carolina.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2023001.

    Full description at Econpapers || Download paper

  2. Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael.
    In: Papers.
    RePEc:arx:papers:2007.07842.

    Full description at Econpapers || Download paper

  3. Deep Recurrent Factor Model: Interpretable Non-Linear and Time-Varying Multi-Factor Model. (2019). Izumi, Kiyoshi ; Abe, Masaya ; Ito, Tomoki ; Nakagawa, Kei.
    In: Papers.
    RePEc:arx:papers:1901.11493.

    Full description at Econpapers || Download paper

  4. Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach. (2018). Debata, Byomakesh ; Mahakud, Jitendra.
    In: Margin: The Journal of Applied Economic Research.
    RePEc:sae:mareco:v:12:y:2018:i:4:p:387-413.

    Full description at Econpapers || Download paper

  5. Firm Size and Stock Returns: A Meta-Analysis. (2017). Novak, Jiri ; Havranek, Tomas ; Astakhov, Anton .
    In: Working Papers IES.
    RePEc:fau:wpaper:wp2017_14.

    Full description at Econpapers || Download paper

  6. Stock Market Liquidity in Chile. (2016). Brandao-Marques, Luis.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/223.

    Full description at Econpapers || Download paper

  7. Liquidity effects and FFA returns in the international shipping derivatives market. (2015). VISVIKIS, ILIAS ; Tsouknidis, Dimitris ; Alizadeh, Amir H. ; Kappou, Konstantina .
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:76:y:2015:i:c:p:58-75.

    Full description at Econpapers || Download paper

  8. Opinion divergence, unexpected trading volume and stock returns: Evidence from China. (2015). Zhu, Hongquan ; Qin, LU ; Chen, Lin.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:36:y:2015:i:c:p:119-127.

    Full description at Econpapers || Download paper

  9. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. (2015). ARTIKIS, PANAGIOTIS ; Apergis, Nicholas ; Kyriazis, Dimitrios .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:42-64.

    Full description at Econpapers || Download paper

  10. Adverse selection and the presence of informed trading. (2015). Chang, Sanders ; Wang, Albert F.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:19-33.

    Full description at Econpapers || Download paper

  11. First to “Read” the News: News Analytics and Institutional Trading. (2015). von Beschwitz, Bastian ; Massa, Massimo ; Keim, Donald B.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10534.

    Full description at Econpapers || Download paper

  12. Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907. (2015). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10497.

    Full description at Econpapers || Download paper

  13. Subcontracting in International Asset Management: New Evidence on Market Integration. (2015). Schumacher, David ; Massa, Massimo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10465.

    Full description at Econpapers || Download paper

  14. Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry. (2013). Suardi, Sandy ; Nilsson, Birger ; Ding, Mingfa .
    In: Working Papers.
    RePEc:hhs:lunewp:2013_010.

    Full description at Econpapers || Download paper

  15. Complete subset regressions. (2013). Elliott, Graham ; Timmermann, Allan ; Gargano, Antonio .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:357-373.

    Full description at Econpapers || Download paper

  16. An empirical analysis of corporate insiders trading performance. (2012). Wang, Xuewu ; Rajan, Murli ; Lei, Qin .
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:3:p:246-264.

    Full description at Econpapers || Download paper

  17. Flight to liquidity due to heterogeneity in investment horizon. (2012). Lei, Qin ; Wang, Xuewu.
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:2:p:316-350.

    Full description at Econpapers || Download paper

  18. Does attention affect individual investors investment return?. (2012). Huang, Jing ; Xu, Zhi ; Chen, Zhengrong ; Shi, Rongsheng .
    In: China Finance Review International.
    RePEc:eme:cfripp:v:2:y:2012:i:2:p:143-162.

    Full description at Econpapers || Download paper

  19. Primary market characteristics and secondary market frictions of stocks. (2012). Çolak, Gönül, ; Boehme, Rodney .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:286-327.

    Full description at Econpapers || Download paper

  20. What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?. (2012). Wright, Jonathan H..
    In: Economic Journal.
    RePEc:ecj:econjl:v:122:y:2012:i:564:p:f447-f466.

    Full description at Econpapers || Download paper

  21. Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment. (2010). Hearn, Bruce ; Strange, Roger ; Piesse, Jenifer.
    In: International Business Review.
    RePEc:eee:iburev:v:19:y:2010:i:5:p:489-501.

    Full description at Econpapers || Download paper

  22. The diminishing liquidity premium. (2008). Wohl, Avi ; Kadan, Ohad ; Ben-Rephael, Azi .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200852.

    Full description at Econpapers || Download paper

  23. MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members. (2008). Tamazian, Artur ; Chousa, Juan Pieiro ; Melikyan, Davit N..
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2008-916.

    Full description at Econpapers || Download paper

  24. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

    Full description at Econpapers || Download paper

  25. Market Liquidity, Asset Prices and Welfare. (2008). Huang, Jennifer ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14058.

    Full description at Econpapers || Download paper

  26. Testing Conditional Asset Pricing Models: An Emerging Market Perspective. (2008). Iqbal, Javed ; Galagedera, Don ; Brooks, Robert.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2008-3.

    Full description at Econpapers || Download paper

  27. Emerging market liquidity and crises. (2007). Van Horen, Neeltje ; Schmukler, Sergio ; Levy Yeyati, Eduardo.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:4445.

    Full description at Econpapers || Download paper

  28. Portfolio choice and the effects of liquidity. (2007). Gonzalez, Ana ; Rubio, Gonzalo.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1035.

    Full description at Econpapers || Download paper

  29. Why Do Private Acquirers Pay So Little Compared to Public Acquirers?. (2007). Stulz, René ; Schlingemann, Frederik ; Zutter, Chad ; Bargeron, Leonce.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13061.

    Full description at Econpapers || Download paper

  30. Pricing Implications of Shared Variance in Liquidity Measures. (2007). Skjeltorp, Johannes ; Næs, Randi ; Chollete, Loran ; Nas, Randi .
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2006_009.

    Full description at Econpapers || Download paper

  31. Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks. (2007). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-11.

    Full description at Econpapers || Download paper

  32. Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements. (2007). Ramadorai, Tarun ; Campbell, John ; Schwartz, Allie .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6390.

    Full description at Econpapers || Download paper

  33. Asset Prices and asset Correlations in Illiquid Markets. (2006). Brunetti, Celso.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:331.

    Full description at Econpapers || Download paper

  34. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
    In: Staff Reports.
    RePEc:fip:fednsr:252.

    Full description at Econpapers || Download paper

  35. R2 and Price Inefficiency. (2006). Xiong, Wei ; Hou, Kewei ; Peng, Lin .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-23.

    Full description at Econpapers || Download paper

  36. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5946.

    Full description at Econpapers || Download paper

  37. Cross-Border Trading as a Mechanism for Implicit Capital Flight: ADRs and the Argentine Crisis. (2005). Tesar, Linda ; Dominguez, Kathryn ; Auguste, Sebastian ; Kamil, Herman ; Kathryn M. E. Dominguez, .
    In: Working Papers.
    RePEc:mie:wpaper:533.

    Full description at Econpapers || Download paper

  38. Paying for Market Quality. (2005). Anand, Amber ; Weaver, Daniel G. ; Tanggaard, Carsten .
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2006-06.

    Full description at Econpapers || Download paper

  39. The joint dynamics of liquidity, returns, and volatility across small and large firms. (2005). Subrahmanyam, Avanidhar ; Chordia, Tarun .
    In: Staff Reports.
    RePEc:fip:fednsr:207.

    Full description at Econpapers || Download paper

  40. Liquidity, default, taxes and yields on municipal bonds. (2005). Wu, Chunchi ; Wang, Junbo ; Zhang, Frank.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-35.

    Full description at Econpapers || Download paper

  41. The World Price of Liquidity Risk. (2005). Lee, Kuan-Hui .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-10.

    Full description at Econpapers || Download paper

  42. Disclosure and liquidity. (2005). Trombetta, Marco ; Espinosa, Monica ; Tapia, Mikel.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb050202.

    Full description at Econpapers || Download paper

  43. Hypothesis Testing in Predictive Regressions. (2004). Hurvich, Clifford ; Amihud, Yakov ; Wang, YI.
    In: Finance.
    RePEc:wpa:wuwpfi:0412022.

    Full description at Econpapers || Download paper

  44. Predictive Regressions: A Reduced-Bias Estimation Method. (2004). Hurvich, Clifford ; Amihud, Yakov.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412008.

    Full description at Econpapers || Download paper

  45. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Lynch, Anthony W. ; Tan, Sinan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

    Full description at Econpapers || Download paper

  46. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

    Full description at Econpapers || Download paper

  47. Multi-market Trading and Arbitrage. (2004). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-9.

    Full description at Econpapers || Download paper

  48. From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings. (2004). Harris, Jeffrey ; Werner, Ingrid ; Panchapagesan, Venkatesh ; Angel, James J..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-22.

    Full description at Econpapers || Download paper

  49. Asset Pricing with Liquidity Risk. (2003). Pedersen, Lasse ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3749.

    Full description at Econpapers || Download paper

  50. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-27.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 21:53:20 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.