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Notes: Proportion of zero spread changes (Szero) is the ratio of zero daily spread changes to the total number of non-missing observations in a month. Market depth (Depth) is measured as the average number of contributors for five-year CDS quotes in a month. For each firm, the average of the measures is calculated, then the descriptive statistics are computed across the sample. Notes: This exhibit reports the autocorrelation of the first principal component of each liquidity measure and across measures. The common factors are extracted by using the APC method. "All" refers to the first component extracted from all the nine measures. "CDS" refers to the first component extracted from the two credit liquidity measures. "Bond" refers to the first component extracted from all the seven liquidity measures.

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