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The Cost of Immediacy for Corporate Bonds

https://doi.org/10.1093/rfs/hhy080
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Market microstructure
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Dealership market
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Optimal dealer pricing under transactions and return uncertainty
inferredcites →https://doi.org/10.1016/0304-405x(87)90029-8openalex-snapshot
Price, trade size, and information in securities markets
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Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements
inferredcites →https://doi.org/10.1016/j.jempfin.2010.10.002openalex-snapshot
The Index Premium and its Hidden Cost for Index Funds
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Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage
inferredcites →https://doi.org/10.1016/j.jfineco.2011.03.020openalex-snapshot
Regulatory pressure and fire sales in the corporate bond market
inferredcites →https://doi.org/10.1016/j.jfineco.2011.10.009openalex-snapshot
Corporate bond liquidity before and after the onset of the subprime crisis
inferredcites →https://doi.org/10.1016/j.jfineco.2014.08.001openalex-snapshot
Price pressures
inferredcites →https://doi.org/10.1016/j.jfineco.2016.11.007openalex-snapshot
Investor flows and fragility in corporate bond funds
inferredcites →https://doi.org/10.1016/j.jfineco.2018.06.001openalex-snapshot
The Volcker Rule and corporate bond market making in times of stress
inferredcites →https://doi.org/10.1016/s0167-2231(76)80003-6openalex-snapshot
Econometric policy evaluation: A critique
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Detecting long-run abnormal stock returns: The empirical power and specification of test statistics
inferredcites →https://doi.org/10.1086/295833openalex-snapshot
The Differential Effects of Bond Rating Changes Among Industrial and Public Utility Bonds by Maturity
inferredcites →https://doi.org/10.1093/rapstu/rau005openalex-snapshot
Rating-Based Investment Practices and Bond Market Segmentation
inferredcites →https://doi.org/10.1093/rfs/4.3.443openalex-snapshot
Sunshine Trading and Financial Market Equilibrium
inferredcites →https://doi.org/10.1093/rfs/hhm037openalex-snapshot
Valuation in Over-the-Counter Markets
inferredcites →https://doi.org/10.1093/rfs/hhm048openalex-snapshot
Underpricing in the Corporate Bond Market
inferredcites →https://doi.org/10.1093/rfs/hhn105openalex-snapshot
Measuring Abnormal Bond Performance
inferredcites →https://doi.org/10.1093/rfs/hhq003openalex-snapshot
Convertible Bond Arbitrageurs as Suppliers of Capital
inferredcites →https://doi.org/10.1093/rfs/hht034openalex-snapshot
Anticipated and Repeated Shocks in Liquid Markets
inferredcites →https://doi.org/10.1111/0022-1082.00341openalex-snapshot
Corporate Bond Trading Costs: A Peek Behind the Curtain
inferredcites →https://doi.org/10.1111/j.1540-6261.1978.tb02053.xopenalex-snapshot
THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
inferredcites →https://doi.org/10.1111/j.1540-6261.1986.tb04518.xopenalex-snapshot
Do Demand Curves for Stocks Slope Down?
inferredcites →https://doi.org/10.1111/j.1540-6261.1986.tb04550.xopenalex-snapshot
Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05122.xopenalex-snapshot
An Analysis of Changes in Specialist Inventories and Quotations
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00683.xopenalex-snapshot
The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01357.xopenalex-snapshot
The Price of Immediacy
inferredcites →https://doi.org/10.1111/j.1540-6288.2007.00179.xopenalex-snapshot
The Impact of Changes in the FTSE 100 Index
inferredcites →https://doi.org/10.1111/jofi.12189openalex-snapshot
Financial Intermediaries and the Cross‐Section of Asset Returns
inferredcites →https://doi.org/10.1111/jofi.12694openalex-snapshot
Capital Commitment and Illiquidity in Corporate Bonds
inferredcites →https://doi.org/10.1142/s2010139214500049openalex-snapshot
Realized Volatility, Liquidity, and Corporate Yield Spreads
inferredcites →https://doi.org/10.1257/aer.97.2.198openalex-snapshot
Search in Asset Markets: Market Structure, Liquidity, and Welfare
inferredcites →https://doi.org/10.1287/mnsc.2017.2876openalex-snapshot
Regulation and Market Liquidity
inferredcites →https://doi.org/10.2139/ssrn.2849071openalex-snapshot
Sharpening the Arithmetic of Active Management
inferredcites →https://doi.org/10.2469/faj.v62.n4.4185openalex-snapshot
Index Changes and Losses to Index Fund Investors
inferredcites →https://doi.org/10.3905/jfi.2009.19.2.043openalex-snapshot
Liquidity Biases in TRACE
inferredcites →https://doi.org/10.3905/jfi.2012.21.3.074openalex-snapshot
Fallen Angels and Price Pressure
inferredcites →https://doi.org/10.3905/jpm.2004.412317openalex-snapshot
S&P 500 Indexers, Tracking Error, and Liquidity

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Powering Past “Peak Passive”? Insights on the Active-Passive Balance from the Literature on Market Efficiency
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Corporate bond yields and returns: a survey
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The leverage ratio and liquidity in the gilt and gilt repo markets
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Information and liquidity of over-the-counter securities: Evidence from public registration of Rule 144A bonds
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Predictive information in corporate bond yields
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Sequential entry in illiquid markets
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The effect of ASC 842 leases on bond yields
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Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds
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Banking regulation and market making
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Market timing in open market bond repurchases
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Economic policy uncertainty and corporate bond liquidity
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Does Operating Risk Affect Portfolio Risk? Evidence from Insurers' Securities Holding
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Crossing boundaries beyond the investment grade: Induced trading by rating-contingent investment constraints
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Green bonds and gold: A new financial–environmental relationship
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Inventory, market making, and liquidity in OTC markets
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Underpricing in the euro area bond market: New evidence from post-crisis regulation and quantitative easing
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Liquidity and Price Pressure in the Corporate Bond Market: Evidence from Mega-Bonds
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Option prices and costly short-selling
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Liquidity supply by broker-dealers and real activity
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Anatomy of a Liquidity Crisis: Corporate Bonds in the COVID-19 Crisis
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.09.025openalex-snapshot
Endogenous inattention and risk-specific price underreaction in corporate bonds
inferred← citeshttps://doi.org/10.1016/j.jfineco.2022.07.010openalex-snapshot
Size-adapted bond liquidity measures and their asset pricing implications
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Priced risk in corporate bonds
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When failure is an option: Fragile liquidity in over-the-counter markets
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Receiving investors in the block market for corporate bonds
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Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints
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Seasonal liquidity effects and their determinants on the covered bond market
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Corporate bond liquidity and yield spreads: A review
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A Survey of the Microstructure of Fixed-Income Markets
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The Bond Pricing Implications of Rating-Based Capital Requirements
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Evolution of Debt Financing Toward Less-Regulated Financial Intermediaries in the United States
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Are there pricing spillovers within ETFs? Evidence from emerging market corporate bonds
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The Role of Bank Competition in Mitigating Information Asymmetry on Green Bond Markets: Evidence from China
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Inventory-Constrained Underwriters and Corporate Bond Offerings
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What Drives the Size and Value Factors?
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The Unintended Consequences of Corporate Bond ETFs: Evidence from the Taper Tantrum
inferred← citeshttps://doi.org/10.1093/rfs/hhad032openalex-snapshot
Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementation?
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Bond Price Fragility and the Structure of the Mutual Fund Industry
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An Efficient Two-Step Approach to Fair and Sparse Transactions Allocation
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Earnings News and Over‐the‐Counter Markets
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Is Corporate Bond Market (In)attentive to Earnings News on Busy Reporting Days?
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Investor behaviour and reaching for yield: Evidence from the sterling corporate bond market
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Credit ETFs in Mutual Funds and Corporate Bond Liquidity
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Over‐the‐Counter Market Frictions and Yield Spread Changes
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Liquidity Supply in the Corporate Bond Market
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The Global Credit Spread Puzzle
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Deregulating Wall Street
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Market Liquidity After the Financial Crisis
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Interconnectedness in the Corporate Bond Market
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Endogenous Price Dispersion
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Adverse Selection and the Microstructure of the U.S. Corporate Bond Market
inferred← citeshttps://doi.org/10.2139/ssrn.2848344openalex-snapshot
Customer Liquidity Provision in Corporate Bond Markets
inferred← citeshttps://doi.org/10.2139/ssrn.2868280openalex-snapshot
Dynamic Matching and Provision of Immediacy in a Heterogeneous Asset Market
inferred← citeshttps://doi.org/10.2139/ssrn.2886825openalex-snapshot
Corporate Bond Portfolios and Macroeoconomic Conditions
inferred← citeshttps://doi.org/10.2139/ssrn.2896758openalex-snapshot
Structural Changes in Corporate Bond Underpricing
inferred← citeshttps://doi.org/10.2139/ssrn.2913865openalex-snapshot
Information and Liquidity of Over-the-Counter Securities: Evidence from Public Registration of Rule 144A Bonds
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Competing with Inventory in Dealership Markets
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What Determines Bid-Ask Spreads in Over-the-Counter Markets?
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The Effects of Transparency on OTC Market-Making
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Market-Making Costs and Liquidity: Evidence from CDS Markets
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Who Limits Arbitrage?
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Market Making and Proprietary Trading in the US Corporate Bond Market
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Bond Liquidity and Dealer Inventories: Insights from US and European Regulatory Data
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Diminishing Treasury Convenience Premiums: Effects of Dealers' Excess Demand in Auctions
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Increasing Corporate Bond Liquidity Premium and Post-Crisis Regulations
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Corporate Bond Illiquidity: Evidence from Government Guarantees
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Monetary Policy Implementation in MBS Markets Through Heterogeneous Dealers
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True Cost of Immediacy
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Downside Risk and the Cross-section of Corporate Bond Returns
inferred← citeshttps://doi.org/10.2139/ssrn.3728943openalex-snapshot
Mutual Fund Fragility, Dealer Liquidity Provisions, and the Pricing of Municipal Bonds
inferred← citeshttps://doi.org/10.2139/ssrn.3744758openalex-snapshot
OTC Discount
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Dealer Networks and the Cost of Immediacy
inferred← citeshttps://doi.org/10.2139/ssrn.3858543openalex-snapshot
Bank Balance Sheet Constraints and Mutual Fund Fragility
inferred← citeshttps://doi.org/10.2139/ssrn.3962978openalex-snapshot
Speculation and Liquidity in Stock and Corporate Bond Markets
inferred← citeshttps://doi.org/10.2139/ssrn.3974646openalex-snapshot
Strategic Trading around Anticipated Supply/Demand Shocks
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“Sell the News!” Liquidity Provision by Bond Funds Following Corporate News Events
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Sustainable Alpha in Sovereign and Corporate Bonds
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A Structural Model of Liquidity in Over‑The‑Counter Markets
inferred← citeshttps://doi.org/10.2139/ssrn.4151880openalex-snapshot
Evolution of Debt Financing Toward Less Regulated Financial Intermediaries
inferred← citeshttps://doi.org/10.2139/ssrn.4151934openalex-snapshot
Bond Market Resiliency: The Role of Insurers
inferred← citeshttps://doi.org/10.2139/ssrn.4250896openalex-snapshot
Capital Regulation, Market-Making, and Liquidity
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Order Imbalances and Bond Issuances
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Relationship Discounts in Corporate Bond Trading
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Passive Demand and Active Supply: Evidence from Maturity-Mandated Corporate Bond Funds
inferred← citeshttps://doi.org/10.2139/ssrn.4398449openalex-snapshot
Priced Risk in Corporate Bonds
inferred← citeshttps://doi.org/10.2139/ssrn.4398494openalex-snapshot
Receiving Investor in the Block Market for Corporate Bonds
inferred← citeshttps://doi.org/10.2139/ssrn.4411269openalex-snapshot
Do carbon emissions affect the cost of capital? Primary versus secondary corporate bond markets *
inferred← citeshttps://doi.org/10.2139/ssrn.4500131openalex-snapshot
Managing Regulatory Pressure: Bank Regulation and Corporate Bond Intermediation
inferred← citeshttps://doi.org/10.2139/ssrn.4579966openalex-snapshot
Life after default: How dealer intermediation improves default recovery
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Intermediary Balance Sheet Constraints, Bond Mutual Funds' Strategies, and Bond Returns
inferred← citeshttps://doi.org/10.2139/ssrn.4613923openalex-snapshot
Who benefits from the bond greenium?
inferred← citeshttps://doi.org/10.2139/ssrn.4633796openalex-snapshot
Dollar and Government Bond Liquidity: Evidence from Korea
inferred← citeshttps://doi.org/10.2139/ssrn.4650063openalex-snapshot
Inventory, Market Making, and Liquidity in OTC Markets
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Liquidity Provision in a One-Sided Market: The Role of Dealer-Hedge Fund Relations
inferred← citeshttps://doi.org/10.2139/ssrn.4673698openalex-snapshot
Passive Investors in Primary Bond Markets
inferred← citeshttps://doi.org/10.2139/ssrn.4839265openalex-snapshot
Trade Protocols, Transparency, and Liquidity – Theory and Evidence from the European Corporate Bond Market
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Factor Investing with Delays
inferred← citeshttps://doi.org/10.2139/ssrn.5229934openalex-snapshot
Investors as a Liquidity Backstop in Corporate Bond Markets
inferred← citeshttps://doi.org/10.2139/ssrn.5260428openalex-snapshot
Trading Choices
inferred← citeshttps://doi.org/10.2139/ssrn.5345606openalex-snapshot
Trading Choices
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Passive Ownership and Corporate Bond Lending
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The search theory of OTC markets
inferred← citeshttps://doi.org/10.3386/w32114openalex-snapshot
Evolution of Debt Financing toward Less-Regulated Financial Intermediaries in the United States
inferred← citeshttps://doi.org/10.3390/risks13100206openalex-snapshot
Beyond the Rating: How Disagreement Among ESG Agencies Affects Bond Credit Spreads
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How New Bond Issuance Influences the Liquidity of Covered Bonds
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The Index Effect in the Corporate Bond Market
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How a New Bond Issuance Affects the Liquidity of a Bond Portfolio
inferred← citeshttps://doi.org/10.70675/4e4117faz26d0z4e0dz8a94z3092e4b96ba6openalex-snapshot
Essays on Intermediation in Financial Markets
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