{"id":"https://openalex.org/W3125744210","doi":"https://doi.org/10.3386/w16394","title":"Liquidity Risk of Corporate Bond Returns: A Conditional Approach","display_name":"Liquidity Risk of Corporate Bond Returns: A Conditional Approach","publication_year":2010,"publication_date":"2010-09-01","ids":{"openalex":"https://openalex.org/W3125744210","doi":"https://doi.org/10.3386/w16394","mag":"3125744210"},"language":"en","primary_location":{"id":"doi:10.3386/w16394","doi":"https://doi.org/10.3386/w16394","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w16394","pdf_url":"https://doi.org/10.3386/w16394","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"volume":null,"type":"report","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.3386/w16394","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5003597161","display_name":"Viral V. Acharya","orcid":"https://orcid.org/0000-0002-8925-4239","observed_orcids":["https://orcid.org/0000-0002-8925-4239"]},"institutions":[{"id":"https://openalex.org/I107639228","display_name":"University of Notre Dame","ror":"https://ror.org/00mkhxb43","country_code":"US","type":"education","lineage":["https://openalex.org/I107639228"]},{"id":"https://openalex.org/I130769515","display_name":"Pennsylvania State University","ror":"https://ror.org/04p491231","country_code":"US","type":"education","lineage":["https://openalex.org/I130769515"]},{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I16391192","display_name":"Tel Aviv University","ror":"https://ror.org/04mhzgx49","country_code":"IL","type":"education","lineage":["https://openalex.org/I16391192"]},{"id":"https://openalex.org/I172675005","display_name":"Nanyang Technological University","ror":"https://ror.org/02e7b5302","country_code":"SG","type":"education","lineage":["https://openalex.org/I172675005"]},{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]},{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]},{"id":"https://openalex.org/I27837315","display_name":"University of Michigan","ror":"https://ror.org/00jmfr291","country_code":"US","type":"education","lineage":["https://openalex.org/I27837315"]},{"id":"https://openalex.org/I44461941","display_name":"University of Houston","ror":"https://ror.org/048sx0r50","country_code":"US","type":"education","lineage":["https://openalex.org/I44461941"]},{"id":"https://openalex.org/I51556381","display_name":"University of Virginia","ror":"https://ror.org/0153tk833","country_code":"US","type":"education","lineage":["https://openalex.org/I51556381"]},{"id":"https://openalex.org/I55732556","display_name":"Arizona State University","ror":"https://ror.org/03efmqc40","country_code":"US","type":"education","lineage":["https://openalex.org/I55732556"]},{"id":"https://openalex.org/I57206974","display_name":"New York University","ror":"https://ror.org/0190ak572","country_code":"US","type":"education","lineage":["https://openalex.org/I57206974"]}],"countries":["CA","HK","IL","SG","US"],"is_corresponding":false,"raw_author_name":"Viral Acharya","raw_affiliation_strings":["Stern School of Business New York University 44 West 4th Street , Suite 9-84 New York , NY 10012 and","Arizona State University, Hong Kong University of Science and Technology, McGill, Tel Aviv University, University of Notre Dame, Barclays Global Investors (London), Southern Methodist University, Nanyang Technological University of Singapore,","Department of Finance University of Michigan Room D7606 ER 701 Tappan Street Ann Arbor, MI 48109-1234","NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","New York University Stern School of Business 44 West Fourth Street, Suite 9-190 New York, NY 10012","Penn State University, University of Houston, University of Texas at Dallas, University of Virginia (Darden), and University of Toronto (Rotman)","School of Business New York University 44 West 4th Street, Suite 9-84 New York, NY 10012"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Stern School of Business New York University 44 West 4th Street , Suite 9-84 New York , NY 10012 and","institution_ids":["https://openalex.org/I57206974"]},{"raw_affiliation_string":"Arizona State University, Hong Kong University of Science and Technology, McGill, Tel Aviv University, University of Notre Dame, Barclays Global Investors (London), Southern Methodist University, Nanyang Technological University of Singapore,","institution_ids":["https://openalex.org/I107639228","https://openalex.org/I16391192","https://openalex.org/I172675005","https://openalex.org/I200769079","https://openalex.org/I55732556"]},{"raw_affiliation_string":"Department of Finance University of Michigan Room D7606 ER 701 Tappan Street Ann Arbor, MI 48109-1234","institution_ids":["https://openalex.org/I27837315"]},{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"New York University Stern School of Business 44 West Fourth Street, Suite 9-190 New York, NY 10012","institution_ids":["https://openalex.org/I57206974"]},{"raw_affiliation_string":"Penn State University, University of Houston, University of Texas at Dallas, University of Virginia (Darden), and University of Toronto (Rotman)","institution_ids":["https://openalex.org/I130769515","https://openalex.org/I185261750","https://openalex.org/I44461941","https://openalex.org/I51556381"]},{"raw_affiliation_string":"School of Business New York University 44 West 4th Street, Suite 9-84 New York, NY 10012","institution_ids":["https://openalex.org/I57206974"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5019257888","display_name":"Yakov Amihud A","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I107639228","display_name":"University of Notre Dame","ror":"https://ror.org/00mkhxb43","country_code":"US","type":"education","lineage":["https://openalex.org/I107639228"]},{"id":"https://openalex.org/I130769515","display_name":"Pennsylvania State University","ror":"https://ror.org/04p491231","country_code":"US","type":"education","lineage":["https://openalex.org/I130769515"]},{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I16391192","display_name":"Tel Aviv University","ror":"https://ror.org/04mhzgx49","country_code":"IL","type":"education","lineage":["https://openalex.org/I16391192"]},{"id":"https://openalex.org/I172675005","display_name":"Nanyang Technological University","ror":"https://ror.org/02e7b5302","country_code":"SG","type":"education","lineage":["https://openalex.org/I172675005"]},{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]},{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]},{"id":"https://openalex.org/I27837315","display_name":"University of Michigan","ror":"https://ror.org/00jmfr291","country_code":"US","type":"education","lineage":["https://openalex.org/I27837315"]},{"id":"https://openalex.org/I44461941","display_name":"University of Houston","ror":"https://ror.org/048sx0r50","country_code":"US","type":"education","lineage":["https://openalex.org/I44461941"]},{"id":"https://openalex.org/I51556381","display_name":"University of Virginia","ror":"https://ror.org/0153tk833","country_code":"US","type":"education","lineage":["https://openalex.org/I51556381"]},{"id":"https://openalex.org/I55732556","display_name":"Arizona State University","ror":"https://ror.org/03efmqc40","country_code":"US","type":"education","lineage":["https://openalex.org/I55732556"]},{"id":"https://openalex.org/I57206974","display_name":"New York University","ror":"https://ror.org/0190ak572","country_code":"US","type":"education","lineage":["https://openalex.org/I57206974"]}],"countries":["CA","HK","IL","SG","US"],"is_corresponding":false,"raw_author_name":"Yakov Amihud","raw_affiliation_strings":["New York University Stern School of Business 44 West Fourth Street, Suite 9-190 New York, NY 10012","Arizona State University, Hong Kong University of Science and Technology, McGill, Tel Aviv University, University of Notre Dame, Barclays Global Investors (London), Southern Methodist University, Nanyang Technological University of Singapore,","Department of Finance University of Michigan Room D7606 ER 701 Tappan Street Ann Arbor, MI 48109-1234","NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","Penn State University, University of Houston, University of Texas at Dallas, University of Virginia (Darden), and University of Toronto (Rotman)","School of Business New York University 44 West 4th Street, Suite 9-84 New York, NY 10012"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"New York University Stern School of Business 44 West Fourth Street, Suite 9-190 New York, NY 10012","institution_ids":["https://openalex.org/I57206974"]},{"raw_affiliation_string":"Arizona State University, Hong Kong University of Science and Technology, McGill, Tel Aviv University, University of Notre Dame, Barclays Global Investors (London), Southern Methodist University, Nanyang Technological University of Singapore,","institution_ids":["https://openalex.org/I107639228","https://openalex.org/I16391192","https://openalex.org/I172675005","https://openalex.org/I200769079","https://openalex.org/I55732556"]},{"raw_affiliation_string":"Department of Finance University of Michigan Room D7606 ER 701 Tappan Street Ann Arbor, MI 48109-1234","institution_ids":["https://openalex.org/I27837315"]},{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"Penn State University, University of Houston, University of Texas at Dallas, University of Virginia (Darden), and University of Toronto (Rotman)","institution_ids":["https://openalex.org/I130769515","https://openalex.org/I185261750","https://openalex.org/I44461941","https://openalex.org/I51556381"]},{"raw_affiliation_string":"School of Business New York University 44 West 4th Street, Suite 9-84 New York, NY 10012","institution_ids":["https://openalex.org/I57206974"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5110032224","display_name":"Sreedhar T. Bharath","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I107639228","display_name":"University of Notre Dame","ror":"https://ror.org/00mkhxb43","country_code":"US","type":"education","lineage":["https://openalex.org/I107639228"]},{"id":"https://openalex.org/I130769515","display_name":"Pennsylvania State University","ror":"https://ror.org/04p491231","country_code":"US","type":"education","lineage":["https://openalex.org/I130769515"]},{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I16391192","display_name":"Tel Aviv University","ror":"https://ror.org/04mhzgx49","country_code":"IL","type":"education","lineage":["https://openalex.org/I16391192"]},{"id":"https://openalex.org/I172675005","display_name":"Nanyang Technological University","ror":"https://ror.org/02e7b5302","country_code":"SG","type":"education","lineage":["https://openalex.org/I172675005"]},{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]},{"id":"https://openalex.org/I200769079","display_name":"Hong Kong University of Science and Technology","ror":"https://ror.org/00q4vv597","country_code":"HK","type":"education","lineage":["https://openalex.org/I200769079"]},{"id":"https://openalex.org/I27837315","display_name":"University of Michigan","ror":"https://ror.org/00jmfr291","country_code":"US","type":"education","lineage":["https://openalex.org/I27837315"]},{"id":"https://openalex.org/I44461941","display_name":"University of Houston","ror":"https://ror.org/048sx0r50","country_code":"US","type":"education","lineage":["https://openalex.org/I44461941"]},{"id":"https://openalex.org/I51556381","display_name":"University of Virginia","ror":"https://ror.org/0153tk833","country_code":"US","type":"education","lineage":["https://openalex.org/I51556381"]},{"id":"https://openalex.org/I55732556","display_name":"Arizona State University","ror":"https://ror.org/03efmqc40","country_code":"US","type":"education","lineage":["https://openalex.org/I55732556"]},{"id":"https://openalex.org/I57206974","display_name":"New York University","ror":"https://ror.org/0190ak572","country_code":"US","type":"education","lineage":["https://openalex.org/I57206974"]}],"countries":["CA","HK","IL","SG","US"],"is_corresponding":false,"raw_author_name":"Sreedhar Bharath","raw_affiliation_strings":["Arizona State University, Hong Kong University of Science and Technology, McGill, Tel Aviv University, University of Notre Dame, Barclays Global Investors (London), Southern Methodist University, Nanyang Technological University of Singapore,","Department of Finance University of Michigan Room D7606 ER 701 Tappan Street Ann Arbor, MI 48109-1234","NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","New York University Stern School of Business 44 West Fourth Street, Suite 9-190 New York, NY 10012","Penn State University, University of Houston, University of Texas at Dallas, University of Virginia (Darden), and University of Toronto (Rotman)","School of Business New York University 44 West 4th Street, Suite 9-84 New York, NY 10012"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Arizona State University, Hong Kong University of Science and Technology, McGill, Tel Aviv University, University of Notre Dame, Barclays Global Investors (London), Southern Methodist University, Nanyang Technological University of Singapore,","institution_ids":["https://openalex.org/I107639228","https://openalex.org/I16391192","https://openalex.org/I172675005","https://openalex.org/I200769079","https://openalex.org/I55732556"]},{"raw_affiliation_string":"Department of Finance University of Michigan Room D7606 ER 701 Tappan Street Ann Arbor, MI 48109-1234","institution_ids":["https://openalex.org/I27837315"]},{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"New York University Stern School of Business 44 West Fourth Street, Suite 9-190 New York, NY 10012","institution_ids":["https://openalex.org/I57206974"]},{"raw_affiliation_string":"Penn State University, University of Houston, University of Texas at Dallas, University of Virginia (Darden), and University of Toronto (Rotman)","institution_ids":["https://openalex.org/I130769515","https://openalex.org/I185261750","https://openalex.org/I44461941","https://openalex.org/I51556381"]},{"raw_affiliation_string":"School of Business New York University 44 West 4th Street, Suite 9-84 New York, NY 10012","institution_ids":["https://openalex.org/I57206974"]}]}],"institutions":[],"countries_distinct_count":5,"institutions_distinct_count":12,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":25,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.7764000296592712,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.7764000296592712,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.13699999451637268,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.023499999195337296,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/liquidity-risk","display_name":"liquidity risk","score":0.9399999976158142},{"id":"https://openalex.org/keywords/corporate-bond-returns","display_name":"corporate bond returns","score":0.921999990940094},{"id":"https://openalex.org/keywords/liquidity-shocks","display_name":"liquidity shocks","score":0.9459999799728394},{"id":"https://openalex.org/keywords/flight-to-liquidity","display_name":"flight to liquidity","score":0.9079999923706055},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.8799999952316284},{"id":"https://openalex.org/keywords/investment-grade-bonds","display_name":"investment grade bonds","score":0.8309999704360962},{"id":"https://openalex.org/keywords/junk-bonds","display_name":"junk bonds","score":0.8360000252723694},{"id":"https://openalex.org/keywords/speculative-grade-bonds","display_name":"speculative-grade bonds","score":0.7310000061988831},{"id":"https://openalex.org/keywords/financial-stress","display_name":"financial stress","score":0.6759999990463257},{"id":"https://openalex.org/keywords/book-to-market-ratio","display_name":"book-to-market ratio","score":0.8379999995231628},{"id":"https://openalex.org/keywords/bond-pricing","display_name":"bond pricing","score":0.5950000286102295}],"concepts":[{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.7041863799095154},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.6931149959564209},{"id":"https://openalex.org/C2780999293","wikidata":"https://www.wikidata.org/wiki/Q6503112","display_name":"Corporate bond","level":3,"score":0.6638083457946777},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.5638203024864197},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.5397222638130188},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.42618024349212646},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3825869560241699},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3604165017604828},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3573806881904602},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.291723370552063}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3386/w16394","doi":"https://doi.org/10.3386/w16394","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w16394","pdf_url":"https://doi.org/10.3386/w16394","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"}],"best_oa_location":{"id":"doi:10.3386/w16394","doi":"https://doi.org/10.3386/w16394","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w16394","pdf_url":"https://doi.org/10.3386/w16394","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3125744210.pdf","grobid_xml":"https://content.openalex.org/works/W3125744210.grobid-xml"},"referenced_works_count":75,"referenced_works":["https://openalex.org/W1537933053","https://openalex.org/W1559237466","https://openalex.org/W1573437329","https://openalex.org/W1879215575","https://openalex.org/W1950658877","https://openalex.org/W1968450183","https://openalex.org/W1976154942","https://openalex.org/W1995834279","https://openalex.org/W2005432509","https://openalex.org/W2008301397","https://openalex.org/W2011913656","https://openalex.org/W2015800048","https://openalex.org/W2018514594","https://openalex.org/W2019222975","https://openalex.org/W2027063727","https://openalex.org/W2043885380","https://openalex.org/W2046519558","https://openalex.org/W2051794781","https://openalex.org/W2053857213","https://openalex.org/W2073552074","https://openalex.org/W2074812030","https://openalex.org/W2076011286","https://openalex.org/W2080290680","https://openalex.org/W2094460937","https://openalex.org/W2105094427","https://openalex.org/W2109718988","https://openalex.org/W2111354982","https://openalex.org/W2113208252","https://openalex.org/W2116821380","https://openalex.org/W2126892545","https://openalex.org/W2128475248","https://openalex.org/W2134072443","https://openalex.org/W2135498306","https://openalex.org/W2136241359","https://openalex.org/W2143161605","https://openalex.org/W2144031751","https://openalex.org/W2149170345","https://openalex.org/W2153490565","https://openalex.org/W2153722256","https://openalex.org/W2170610810","https://openalex.org/W2189094526","https://openalex.org/W2240968826","https://openalex.org/W2241060057","https://openalex.org/W2605740101","https://openalex.org/W2606901652","https://openalex.org/W2607411151","https://openalex.org/W2943795285","https://openalex.org/W3021190191","https://openalex.org/W3022900687","https://openalex.org/W3093578674","https://openalex.org/W3121401171","https://openalex.org/W3121453935","https://openalex.org/W3121630491","https://openalex.org/W3121714092","https://openalex.org/W3121877964","https://openalex.org/W3122124451","https://openalex.org/W3122420083","https://openalex.org/W3122458556","https://openalex.org/W3122632517","https://openalex.org/W3122639747","https://openalex.org/W3123451865","https://openalex.org/W3124112311","https://openalex.org/W3124246867","https://openalex.org/W3125239784","https://openalex.org/W3125469888","https://openalex.org/W3125813470","https://openalex.org/W3125868889","https://openalex.org/W3126104212","https://openalex.org/W3207558004","https://openalex.org/W4230139249","https://openalex.org/W4230540294","https://openalex.org/W4230841866","https://openalex.org/W4231854680","https://openalex.org/W4235462428","https://openalex.org/W4241115065"],"related_works":["https://openalex.org/W3123095288","https://openalex.org/W2598938246","https://openalex.org/W1789260718","https://openalex.org/W2344763555","https://openalex.org/W4244094417","https://openalex.org/W3121955429","https://openalex.org/W7096339716","https://openalex.org/W3134676337","https://openalex.org/W3207558004","https://openalex.org/W2161856724"],"abstract_inverted_index":{"We":[0],"study":[1],"the":[2,5,19,67,69,80,108,128,133],"exposure":[3],"of":[4,13,53,59,71,110,114,121],"US":[6],"corporate":[7,115],"bond":[8,37,116,130],"returns":[9,117,131],"to":[10,66,74,98,123],"liquidity":[11,30,112,153],"shocks":[12,31,154],"stocks":[14,143],"and":[15,105],"Treasury":[16],"bonds":[17,55,62],"over":[18],"period":[20],"1973":[21],"-2007":[22],"in":[23,40,45,159],"a":[24,43,139,156],"regime":[25,82],"-switching":[26],"model.In":[27],"one":[28],"regime,":[29,42],"have":[32],"mostly":[33],"insignificant":[34],"effects":[35],"on":[36,119],"prices,":[38],"whereas":[39],"another":[41],"rise":[44,56],"illiquidity":[46],"produces":[47],"significant":[48],"but":[49],"conflicting":[50],"effects:":[51],"Prices":[52],"investment-grade":[54],"while":[57],"prices":[58],"speculative-grade":[60],"(junk)":[61],"fall":[63],"substantially":[64],"(relative":[65],"market).Relating":[68],"probability":[70],"these":[72],"regimes":[73],"macroeconomic":[75],"conditions":[76,88],"we":[77],"find":[78,138],"that":[79,89],"second":[81],"can":[83,126],"be":[84],"predicted":[85],"by":[86,145,162],"economic":[87,164],"are":[90,96],"characterized":[91,161],"as":[92],"\"stress.\"These":[93],"effects,":[94],"which":[95],"robust":[97],"controlling":[99],"for":[100,132,142],"other":[101],"systematic":[102],"risks":[103],"(term":[104],"default),":[106],"suggest":[107],"existence":[109],"time-varying":[111],"risk":[113],"conditional":[118],"episodes":[120],"flight":[122],"liquidity.Our":[124],"model":[125],"predict":[127],"out-of-sample":[129],"stress":[134],"years":[135],"2008":[136],"-2009.We":[137],"similar":[140],"pattern":[141],"classified":[144],"high":[146],"or":[147],"low":[148],"book-tomarket":[149],"ratio,":[150],"where":[151],"again,":[152],"play":[155],"special":[157],"role":[158],"periods":[160],"adverse":[163],"conditions.":[165]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":6}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2021-02-01T00:00:00"}