Authors:

  • Adi Sunderam

Excerpt

Corporate Bond Liquidity: A Revealed Preference Approach. Adi Sunderam, March 20, 2018, Paper, "We propose a novel measure of bond market liquidity that does not depend on transaction data. Capturing how the strength of the relation between mutual fund cash holdings and uncertainty about fund flows varies in the cross section, our measure reflects funds’ perceived illiquidity of their portfolio holdings at a given point in time. Speculative grade and smaller bonds are perceived to be significantly less liquid, with the illiquidity of speculative grade bonds in particular deteriorating in the post-crisis period." Link