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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.