Marketability and Default Influences on the Yield Premia of Speculative-Grade Debt

Comparing Possible Proxies of Corporate Bond Liquidity

“…The most popular approach is to regress yields (and occasionally bid-ask spreads or trading volumes) of individual corporate bonds on a range of proxies for interest rate, credit and liquidity risk. Examples of studies that used this method include Gehr and Martell (1992), Shulman, Bayless andPrice (1993), Chakravarty andSarkar (1999), Alexander, Edwards and Ferri (2000), Hong and Warga (2000), CollinDufresne, Goldstein and Martin (2001), Ericsson and Renault (2001), Schultz (2001), Díaz and Navarro (2002), Elton, Gruber, Agrawal and Mann (2002) and Mullineaux and Roten (2002).…”

The Changing Relevance of Accounting Numbers to Debt Holders over Time

“…Other research using this database includesHancock and Kwast (2001),Hand et al (1992),Hemler (1990),Dudney and Geppert (2008),Cooper and Shulman (1994),Shulman, and Bayless (1993) andGay and Manaster (1991).…”

Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union

“…20 These regressions explicitly distinguish between the contributions of the current versus expected future market share variables for relative bond value and permit tests of the marginal contributions of these market share variables to both 2-stage and 3-stage auction status dummy variables. Orthogonalized variables are used to control for the correlation among the candidate explanatory Table 4 Liquidity value impacts of current 10-year bond market share (MS o it ) and expected average future market share (MS i;t;tþmit ) with and without on-the-run auction status (OTRD o it ), pre-benchmark status (PreBD o it ) and benchmark status (BD o it ) dummy variables Sample period: 1993-1997Sample period: 1998-2002 Coefficients t-Statistics Adjusted R 2 (%) Coefficients t-Statistics Adjusted R 2 (%) 1993-1997 and 1998-2002. The regression equations are…”

“…Panel A of Table 2 reports two sets of summary statistics on issue par amounts for both individual tranches and total issue sizes for each of the three main bond maturity sectors: 10-, 5-and 3-years. The 1993The -1997The -2002 sample splits were chosen to reflect the two different Spanish issuance policy regimes. The latter subsample begins after the 1997 shift toward larger issue sizes.…”