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1. www.investopedia.com › articles › investingWhy Liquidity Matters in the Corporate Bond Market - Investopedia

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   2 days ago · The relationship between a bond’s liquidity and its yield spread has been heavily researched. Studies suggest that illiquidity has the largest impact on the yield spreads of high-yield bonds ...

2. www.investopedia.com › terms › yYield Spread: Definition, How It Works, and Types of Spreads

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   Sep 16, 2024 · Yield Spread and Risk . Typically, the higher the risk a bond or asset class carries, the higher its yield spread. When an investment is viewed as low-risk, investors do not require a large yield ...

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     Bond Spreads Explained | Financial Fundamentals

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     Yield Spread: Definition, How It Works, and Types of Spreads

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     Bond Yield: What It Is, Why It Matters, and How It's Calculated

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4. rpc.cfainstitute.org › en › researchCorporate Yield Spreads and Bond Liquidity (Digest Summary)

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   Aug 1, 2007 · Finally, the authors demonstrate that issue-specific liquidity changes are determinants of yield-spread changes. For investment-grade bonds, the changes in percentage of zero returns and the LOT liquidity measure explain more than 2 percent of the cross-sectional variation in yield-spread changes.

5. fastercapital.com › content › Yield-Spread--What-isYield Spread: What is Yield Spread and Why It Matters for ...

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   Nominal yield spread reflects the extra return that investors demand for holding a bond with higher risk and lower liquidity than the benchmark bond. However, nominal yield spread does not account for the different cash flows and embedded options of the bond, such as call or put features, which can affect the bond's value and yield. 2. Z-spread ...

6. www.sciencedirect.com › science › articleCorporate bond liquidity and yield spreads: A review

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   Apr 1, 2023 · De Jong and Driessen (2012) found that fluctuations in government bond and equity market liquidity significantly affect corporate bond returns and are associated with liquidity risk components of the corporate bond yield spreads both for the U.S. and European corporate bonds. The estimated liquidity risk premium is around 0.6% per year for long-term U.S. investment-grade bonds and around 1.5% ...

7. www.researchgate.net › publication › 245801478Corporate Bond Liquidity and Its Effect on Bond Yield Spreads

   www.researchgate.net › publication › 245801478

   Oct 29, 2011 · LXII, NO. 1. F EBRUARY 2007. Corporate Y ield Spreads and Bond Liquidity. LONG CHEN, DA VID A. LESMOND, and JASON WEI. ∗. ABSTRACT. We f ind that liquidity is priced in corporate yield spreads ...

8. People also ask

   Does a bond's liquidity affect its yield spread?

   • Indeed, the relationship between a bond’s liquidity and its yield spread has been heavily researched in studies such as "Market Liquidity and Trading Activity" and " The Illiquidity of Corporate Bonds." A corporate bond’s liquidity largely influences its ability to make large-scale, low-cost asset trades without causing large price changes.

   Why Liquidity Matters in the Corporate Bond Market - Investopedia

   www.investopedia.com/articles/investing/012216/why-liquidity-matters-corporate-bond-market.asp

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   Does liquidity risk affect corporate bond spreads?

   • Chen and Jiang (2021) studied the contribution of liquidity risk to corporate bond spreads. They found that although the Chinese corporate bond market is substantially illiquid and corporate bond issuers are pre-screened for their credit risk, liquidity premium forms a relatively smaller portion of yield spread in China compared to the U.S.

   Corporate bond liquidity and yield spreads: A review

   www.sciencedirect.com/science/article/pii/S027553192300051X

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   Does liquidity affect corporate bond returns?

   • De Jong and Driessen (2012) found that fluctuations in government bond and equity market liquidity significantly affect corporate bond returns and are associated with liquidity risk components of the corporate bond yield spreads both for the U.S. and European corporate bonds.

   Corporate bond liquidity and yield spreads: A review

   www.sciencedirect.com/science/article/pii/S027553192300051X

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   Do yield spreads affect bond illiquidity?

   • While AAA bonds respond positively, higher-yielding, lower-rated corporate bonds fare poorly. In stable markets, the determinant liquidity factors tend to be idiosyncratic, based on the behaviors of each individual issuer. Heck et al. identified a significant relationship between yield spreads and bond illiquidity.

   Why Liquidity Matters in the Corporate Bond Market - Investopedia

   www.investopedia.com/articles/investing/012216/why-liquidity-matters-corporate-bond-market.asp

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   Is liquidity a determinant of Corporate yield spreads?

   • However, relatively few studies have examined the determinants of euro corporate yield spreads and the liquidity component of corporate yield spreads. Houweling et al. (2005) found strong evidence that liquidity is priced in the euro-denominated corporate bond market.

   Corporate bond liquidity and yield spreads: A review

   www.sciencedirect.com/science/article/pii/S027553192300051X

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   What is a yield spread?

   • Yield spreads can come in varying types, including zero-volatility spreads, high-yield bonds spreads, and option-adjusted spreads. The yield spread is a key metric that bond investors use when gauging the level of expense for a bond or group of bonds. If one bond yields 7% and another one yields 4%, the spread is three percentage points or 300 bps.

   Yield Spread: Definition, How It Works, and Types of Spreads - Investop…

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9. fastercapital.com › content › Bond-Spread--How-toBond Spread: How to Compare the Yield of Different Bonds

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   Jun 19, 2024 · What factors affect bond spread: Bond spread can change over time due to various factors, such as the credit quality of the issuer, the duration of the bond, the liquidity of the bond, the supply and demand of the bond, and the market sentiment. For example, if the credit rating of a corporate bond issuer is downgraded, the bond spread will widen, as investors will demand a higher yield to ...