Liquidity, Credit Risk and Pricing of Corporate Bond

• المؤلف الرئيسي: SUN, Xiaoli
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: corporate bonds; liquidity measures; benchmark curve; bond yield spread; Corporate Finance; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/26; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1025&context=etd_coll

Employing a comprehensive database on transactions of corporate bonds issued by corporations, agencies and financial institutions, we compare the different liquidity measures--bid-ask spread, zero-return percentage, Amihud illiquidity factor for the corporate bond market. The criteria of judging is...