Essays on Asymmetric Illiquidity of Corporate bonds, Commonality in Corporate Bond Liquidity, and the Real Effects of Corporate Bond Liquidity

The purpose of this thesis is three-fold. Firstly, to investigate the pricing implications of asymmetric illiquidity for corporate bonds. Secondly, to explore a demand-side explanation for commonality in corporate bond liquidity. Thirdly, to examine the effect of corporate bond liquidity on earnings management. In particular, this thesis first examines the asset-pricing implications of buy- and sell- order illiquidity in cross-sectional bond yield spreads. Furthermore, this thesis studies the effect of institutional demand on commonality in liquidity. Finally, this thesis endeavors to provide empirical evidence of the real effect of bond illiquidity on corporate earnings management.