We investigate whether liquidity is an important price factor in the US corporate bond market.
In particular, we focus on whether liquidity effects are more pronounced in periods of …

In this paper we develop a model of the economic value of credit rating systems. Increasing
international competition and changes in the regulatory framework driven by the Basel …

In this paper, we model price dispersion effects in over-the-counter (OTC) markets to show
that, in the presence of inventory risk for dealers and search costs for investors, traded prices …

We examine recovery rates of defaulted bonds in the US corporate bond market, based on
a complete set of traded prices and volumes. A study of the trading microstructure around …

The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Euribor)
are two key benchmark interest rates used in a plethora of financial contracts. The integrity of …

The work reported in this paper aimed to measure the impact of liquidity on European
Monetary Union (EMU) government bond prices. Although there is a growing theoretical and …

Under standard assumptions the reduced-form credit risk model is not capable of accurately
pricing the two fundamental credit risk instruments – bonds and credit default swaps (CDS) –…

We develop and empirically test a theory of optimal security design under adverse selection
accounting for strategic trading by uninformed investors who will liquidate a security in …

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study
liquidity effects in the US structured product market. Our main contribution is the analysis …

In this paper, we analyze the impact of credit rating changes on the pricing and liquidity of
US corporate bonds. In particular, we address the question of whether the informativeness of …