This paper provides a thorough review of the liquidity measures that are used in the
empirical literature to measure liquidity. A wide range of papers have emphasized its role …

This paper explores flow patterns in corporate bond mutual funds. We show that corporate
bond funds exhibit a concave flow-to-performance relationship: their outflows are sensitive …

I empirically examine the components of Japanese bond spreads from views of market
liquidity and funding liquidity based on Japanese investors' liquidity demand during periods …

In the literature, there is no consensus on a common approach to measure bond liquidity.
This paper is the first to comprehensively compare all commonly employed liquidity …

A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold
relatively illiquid assets. We provide a theory and empirical evidence showing that this …

We investigate the return predictability of corporate bonds using big data and machine
learning. We find that machine learning models substantially improve the out-of-sample …

Using a news‐based index of economic policy uncertainty (EPU), we find that EPU is
positively associated with credit default swap (CDS) spreads and negatively associated with …

Exchange-traded funds (ETFs) are among the most important financial intermediaries. Their
assets under management have grown quickly since their first appearance in 1993 …

In this study, we use a factor model in order to decompose sovereign Credit Default Swaps
(CDS) spreads into default, liquidity, systematic liquidity and correlation components. By …

Understanding market liquidity resilience, ie the capacity of liquidity to absorb shocks, of
United States Treasuries is crucial from a financial stability standpoint. The conventional …