Corporate Yield Spreads and Bond Liquidity
Saved Alpha Factory candidate. This is where a paper stops being decorative research furniture and starts becoming a buildable object, assuming it survives contact with reality.
Source Object
paper
openalex:https://openalex.org/W3122458556
Corporate Yield Spreads and Bond Liquidity
openalex
2007
The Journal of Finance
0
paper / credit / liquidity
Strategy Object Candidate
raw
Signal
Credit / Rates
Corporate bond spreads / Liquidity proxy / Treasury curve / Volatility proxy
Yield spread / Liquidity spread / Spread change / Regime filter
Stress regime / Liquidity-fracture regime
rag_basis / codex_card / backtest_hook / zalpha_monitor / archive
openalex:https://openalex.org/W3122458556
Market Force
Bond illiquidity increases corporate yield spreads; liquidity improvement can compress spreads.
Testable Claim
A liquidity premium monitor can separate default risk from liquidity-driven spread widening.
Entry Logic
Monitor widening when liquidity deteriorates faster than default proxy.
Exit Logic
Exit or downgrade signal when liquidity normalizes or default risk dominates.
Risk Rules
Avoid illiquid instruments and stale pricing.
Failure Modes
- Stale pricing
- Credit event contamination
- Liquidity proxy failure
Promoted drafts are locked from normal status changes. The card now owns the live object.