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Appendix: How Post-2008 Financial Regulations Impacted Corporate Bond Liquidity
Economic Brief No. 22-05, Feb. 9, 2022

Table 1: Corporate Yield Spreads on γ, AMD and Controls
γ
AMD
CDS
EqVol
Cpn

Obs.
Adj.R2
1.64
0.167
139,168
[4.24]
0.215
1.64
0.123
139,168
[4.97]
[4.36]
0.843
0.682
0.679
139,168
[24.87]
[4.07]
0.101
0.585
0.468
0.167
-0.848
-0.057
-0.466
0.426
0.006
0.012
0.011
0.349
0.361
0.799
139,168
[4.84]
[10.80]
[4.83]
[8.36]
[-6.70]
[-1.97]
[-3.41]
[3.91]
[0.51]
[0.91]
[4.82]
[2.90]
[2.45]
0.071
0.590
0.493
0.170
-0.866
-0.075
-0.426
0.324
0.009
0.003
0.012
0.595
0.311
0.798
139,168
[4.85]
[10.81]
[5.12]
[8.18]
[-6.77]
[-2.45]
[-3.08]
[3.55]
[0.75]
[0.24]
[5.47]
[3.24]
[2.15]
Notes: Data are for the period December 2007-June 2017. Fama-MacBeth regression with Newey-West standard errors. T-statistics in square brackets. AMD multiplied by 103. EqVol is the
annualized volatility of the issuer’s equity returns, and Cpn is the issue’s coupon. IG is 1 if the bond is Investment Grade and 0 otherwise. Call is 1 if the bond is callable and 0 otherwise. Volume is
calculated as the total $ amount traded x1011. Frequency in thousands of trades. Maturity and Age calculated in years at the last business day of the month. Turnover is the volume divided by the
amount outstanding, and ZTD is the percentage of zero-trading days. Adj. R2 is the time series average of cross-sectional adjusted-R2s.
0.332
[5.23]

IG

Call

Volume

Freq.

Maturity

Age

Turnover

ZTD

Constant

Table 2: Corporate Yield Spreads on γ, AMD and controls
γ
AMD
CDS
EqVol
Cpn

IG

Call

Volume

Freq.

Maturity

Age

Turnover

ZTD

Constant

Adj.R2

Obs.

0.089

17,165

0.055

17,165

0.748

17,165

0.855
[3.72]
1.40
[3.56]

3.39
[7.11]
3.33
[8.42]
1.44
[5.48]
0.739
[1.56]
0.660
[1.40]

0.793

17,165

0.793

17,165

0.168

91,424

0.120

91,424

0.667

91,424

0.168
[2.89]
0.327
[6.24]

1.21
[12.91]
1.22
[12.11]
0.447
[14.39]
0.237
[2.88]
0.196
[2.33]

0.798

91,424

0.797

91,424

Panel A: December 2007-December 2009
0.156
[3.36]
0.105
[3.09]

0.043
[3.83]
0.037
[3.62]

0.956
[14.08]
0.785
[10.46]
0.791
[10.42]

0.801
[6.79]
0.806
[6.26]

0.236
[6.25]
0.245
[5.77]

-1.25
[-3.92]
-1.27
[-3.89]

-0.104
-0.247
0.009
-0.043
[-2.60]
[-1.05]
[0.26]
[-3.78]
-0.142
-0.137
-0.069
-0.046
[-2.42]
[-0.56]
[-1.60]
[-2.88]
Panel B: January 2010-November 2015

0.072
[4.17]
0.060
[4.27]

0.011
[3.11]
0.012
[3.06]

0.327
[7.47]
0.211
[6.91]

0.098
[6.87]
0.069
[5.98]
0.583
[8.75]

0.827
[49.46]
0.543
[15.93]
0.548
[15.49]

0.385
[4.92]
0.412
[5.04]

0.144
[11.65]
0.146
[12.35]

-0.695
[-11.13]
-0.711
[-11.42]

-0.049
-0.420
0.457
0.018
[-1.44]
[-3.41]
[10.85]
[5.07]
-0.065
-0.407
0.374
0.023
[-2.05]
[-3.50]
[14.09]
[7.00]
Panel C: December 2015-June 2017

-0.003
[-1.14]
-0.009
[-3.03]

0.008
[4.84]
0.009
[6.67]

0.986
0.267
30,579
[20.05]
0.374
0.965
0.225
30,579
[5.33]
[32.63]
0.756
0.565
0.636
30,579
[17.37]
[24.47]
0.186
0.478
0.342
0.159
-0.897
-0.022
-0.927
0.856
0.024
-0.012
0.021
0.359
0.335
0.810
30,579
[18.94]
[7.10]
[6.22]
[11.17]
[-22.05]
[-2.52]
[-2.37]
[13.26]
[12.04]
[-4.97]
[3.44]
[4.43]
[2.88]
0.121
0.483
0.387
0.163
-0.915
-0.025
-0.877
0.658
0.032
-0.025
0.023
0.539
0.282
0.807
30,579
[11.11]
[7.70]
[6.26]
[10.33]
[-23.94]
[-2.77]
[-2.28]
[11.67]
[20.51]
[-5.14]
[3.84]
[5.75]
[2.52]
Notes: Fama-MacBeth regression with Newey-West standard errors. T-statistics in square brackets. AMD multiplied by 103. EqVol is the annualized volatility of the issuer’s equity returns, and Cpn is
the issue’s coupon. IG is 1 if the bond is Investment Grade and 0 otherwise. Call is 1 if the bond is callable and 0 otherwise. Volume is calculated as the total $ amount traded x1011. Frequency in
thousands of trades. Maturity and Age calculated in years at the last business day of the month. Turnover is the volume divided by the amount outstanding, and ZTD is the percentage of zerotrading days. Adj. R2 is the time series average of cross-sectional adjusted-R2s.