The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Corporate Yield Spreads and Bond Liquidity
Open accessAbstract
We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity measures covering over 4,000 corporate bonds and spanning both investment grade and speculative categories, we find that more illiquid bonds earn higher yield spreads, and an improvement in liquidity causes a significant reduction in yield spreads. These results hold after controlling for common bond‐specific, firm‐specific, and macroeconomic variables, and are robust to issuers' fixed effect and potential endogeneity bias. Our findings justify the concern in the default risk literature that neither the level nor the dynamic of yield spreads can be fully explained by default risk determinants.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Cited by
The effect of pro-environmental preferences on bond prices: Evidence from green bonds
Zerbib, O. D. (2019) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2018.10.012 · Cited by 1,379
Larcker, D. F., & Watts, E. M. (2020) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2020.101312 · Cited by 562
The impact of liquidity risk on the yield spread of green bonds
Febi, W., Schäfer, D., Stephan, A., & Sun, C. (2018) · Finance Research Letters · doi:10.1016/j.frl.2018.02.025 · Cited by 286
Trust, social capital, and the bond market benefits of ESG performance
Amiraslani, H., Lins, K. V., Servaes, H., & Tamayo, A. (2023) · Review of Accounting Studies · doi:10.1007/s11142-021-09646-0 · Cited by 222
Metadata
- Authors
- CHEN, L., LESMOND, D. A., & WEI, J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2007-01-11
- Volume
- 62
- Issue
- 1
- Pages
- 119-149
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3122458556
- Cited by
- 1,078
- References
- 1
- FWCI
- 87.39
- Type
- journal article
- Language
- en
- Open access
- bronze
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Corporate Yield Spreads and Bond Liquidity. https://app.cochat.ai/papers/10.1111/j.1540-6261.2007.01203.x
- The paper
- CHEN, L., LESMOND, D. A., & WEI, J. (2007). Corporate Yield Spreads and Bond Liquidity. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2007.01203.x
Data sources
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.
