Liquidity Risk of Corporate Bond Returns: A Conditional Approach
收藏NBER2010-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/w16394
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We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity
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美国国家经济研究局创建时间：
2010-09-01
