The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
Corporate bond liquidity before and after the onset of the subprime crisis
Open accessAbstract
We analyze liquidity components of corporate bond spreads during 2005–2009 using a new robust illiquidity measure. The spread contribution from illiquidity increases dramatically with the onset of the subprime crisis. The increase is slow and persistent for investment grade bonds while the effect is stronger but more short-lived for speculative grade bonds. Bonds become less liquid when financial distress hits a lead underwriter and the liquidity of bonds issued by financial firms dries up under crises. During the subprime crisis, flight-to-quality is confined to AAA-rated bonds.
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Cites
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Petersen, M. A. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn053 · Cited by 10,746
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Bootstrap-Based Improvements for Inference With Clustered Errors
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Metadata
- Authors
- Dick-Nielsen, J., Feldhütter, P., & Lando, D.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2012-03
- Volume
- 103
- Issue
- 3
- Pages
- 471-492
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W3124925117
- Cited by
- 786
- References
- 38
- FWCI
- 68.23
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Dick-Nielsen, J., Feldhütter, P., & Lando, D. (2012). Corporate bond liquidity before and after the onset of the subprime crisis. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2011.10.009
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
