Publicly available bond data are different than bond data used by asset managers. [SSRN]
Category: debt
Modeling Corporate Bond Returns (JF 2023) w/ Kelly and Palhares
The Liquidity Effects of Official Bond Market Intervention (JFQA 2018) w/ DePooter and Martin
We find significant liquidity effects to ECB sovereign bond purchases, using a search-based asset pricing model to understand the mechanism. [publication] [SSRN]
Seth Pruitt 