Corporate bond liquidity before and after the onset of the subprime crisis

  • Dick-Nielsen J
  • Feldhütter P
  • Lando D
  • 229


    Mendeley users who have this article in their library.
  • 127


    Citations of this article.


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 the onset of the subprime crisis. The increase is slow and persistent for investment grade bonds while the effect is stronger but more short-lived for speculative grade bonds. Bonds become less liquid when financial distress hits a lead underwriter and the liquidity of bonds issued by financial firms dries up under crises. During the subprime crisis, flight-to-quality is confined to AAA-rated bonds. © 2011 Elsevier B.V..

Author-supplied keywords

  • Corporate bonds
  • Liquidity
  • Liquidity risk
  • Subprime crisis

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document


  • Jens Dick-Nielsen

  • Peter Feldhütter

  • David Lando

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free