The DOI matches its Crossref record.
The Illiquidity of Corporate Bonds
Open accessAbstract
This paper examines the illiquidity of corporate bonds and its asset‐pricing implications. Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is substantial, significantly greater than what can be explained by bid–ask spreads. We establish a strong link between bond illiquidity and bond prices. In aggregate, changes in market‐level illiquidity explain a substantial part of the time variation in yield spreads of high‐rated (AAA through A) bonds, overshadowing the credit risk component. In the cross‐section, the bond‐level illiquidity measure explains individual bond yield spreads with large economic significance.
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
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
Corporate bond liquidity before and after the onset of the subprime crisis
Dick-Nielsen, J., Feldhütter, P., & Lando, D. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.10.009 · Cited by 786
The Volcker Rule and corporate bond market making in times of stress
Bao, J., O’Hara, M., & (Alex) Zhou, X. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2018.06.001 · Cited by 283
Self-citationTrust, 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
The effect of social screening on bond mutual fund performance
Henke, H.-M. (2016) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2016.01.010 · Cited by 147
Metadata
- Authors
- BAO, J., PAN, J., & WANG, J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2011-05-23
- Volume
- 66
- Issue
- 3
- Pages
- 911-946
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2162009965
- Cited by
- 978
- References
- 0
- FWCI
- 99.09
- Type
- journal article
- Language
- en
- Open access
- green
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: The Illiquidity of Corporate Bonds. https://app.cochat.ai/papers/10.1111/j.1540-6261.2011.01655.x
- The paper
- BAO, J., PAN, J., & WANG, J. (2011). The Illiquidity of Corporate Bonds. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2011.01655.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.
