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 …

We use green bonds as an instrument to identify the effect of non-pecuniary motives,
specifically pro-environmental preferences, on bond market prices. We perform a matching …

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 …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit
risk, bond-specific characteristics and macroeconomic variables. Using two liquidity …

We analyze liquidity components of corporate bond spreads during 2005–2009 using a new
robust illiquidity measure. The spread contribution from illiquidity increases dramatically with …

Secondary market illiquidity is an important non-default factor affecting yield spreads. Yet, a
review of the literature suggests the findings are mixed, both regarding the relative size of …

We show that credit risk accounts for only a small fraction of yield spreads for investment-
grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that …

The green bond market has increased rapidly in recent years amid growing concerns about
climate change and wider environmental issues. However, whether green bonds provide …

The transactions database TRACE is rapidly becoming the standard data source for
empirical research on US corporate bonds. This paper is the first to thoroughly discuss the …

In this paper, we examine the yield premium of green bonds. We use a matching method,
followed by a two-step regression procedure, to estimate the yield differential between a …