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Credit Rating and Liquidity in the US Corporate Bond Market

Antonio Díaz and Ana Escribano
The Journal of Fixed Income Spring 2019, 28 (4) 46-59; DOI: https://doi.org/10.3905/jfi.2019.28.4.046
Antonio Díaz
is a full professor in the Department of Economics and Finance at the University of Castilla-La Mancha, Plaza de la Universidad in Albacete, Spain
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Ana Escribano
is an assistant professor in the Department of Economics and Finance at the University of Castilla-La Mancha, Plaza de la Universidad in Albacete, Spain
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Abstract

This article examines the relationship, commonly assumed by the literature, between credit rating and liquidity. Analyzing sixteen proxies of (il)liquidity encompassed in five dimensions of liquidity from transaction data, the authors observe that credit ratings can be grouped into four blocks based on their liquidity when working with bond-level data. The blocks are AAA/AA and A/BBB for investment-grade bonds, and BB/B and “CCC or lower” for speculative-grade bonds. However, when working with rating-level data, significant differences in liquidity appear between all rating categories. These liquidity differences are not homogeneous when a distinction is made between dimensions of liquidity.

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The Journal of Fixed Income: 28 (4)
The Journal of Fixed Income
Vol. 28, Issue 4
Spring 2019
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Credit Rating and Liquidity in the US Corporate Bond Market
Antonio Díaz, Ana Escribano
The Journal of Fixed Income Mar 2019, 28 (4) 46-59; DOI: 10.3905/jfi.2019.28.4.046

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Credit Rating and Liquidity in the US Corporate Bond Market
Antonio Díaz, Ana Escribano
The Journal of Fixed Income Mar 2019, 28 (4) 46-59; DOI: 10.3905/jfi.2019.28.4.046
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    • LIQUIDITY DIMENSIONS AND MEASURES
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