Brattle Associate John Anthony recently co-authored the study “Liquidity commonality in the secondary corporate loan market” for the December issue of Economics Letters (forthcoming).
The study is the first to examine liquidly commonality, a measure of liquidity risk, in the United States secondary corporate loan market. Liquidity commonality varies significantly across market states, and can be absent during benign market conditions. The authors’ findings indicate that the results of the study have implications for banking portfolio management, the pricing of liquidity risk, and for regulators interested in the time-variation of liquidity risk in illiquid markets.
The study conducted by Dr. Anthony and his co-authors Paul Docherty, Doowon Lee, and Abul Shamsuddin, will be available in the December issue of Economics Letters.