https://www.federalreserve.gov/pubs/ifdp/2006/871/ifdp871.pdf

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

We examine whether liquidity is priced in corporate yield spreads. Using a battery of liquidity measures covering over 4000 corporate bonds and spanning investment grade and speculative grade categories, we find that more illiquid bonds earn higher yield spreads; and that an improvement of liquidity causes a significant reduction in yield spreads. These results hold after controlling for common bond-specific, firm-specific, and macroeconomic variables, and are robust to issuers' fixed effect and potential endogeneity bias. Our finding mitigates the concern in the default risk literature that neither the level nor the dynamic of yield spreads can be fully explained by default risk determinants, and suggests that liquidity plays an important role in corporate bond valuation.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID722646_code330689.pdf?abstractid=495422&rulid=5287781&mirid=4

Corporate Yield Spreads and Bond Liquidity

Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that the bulk of sovereign yield spreads is explained by differences in credit quality, though liquidity plays a non-trivial role especially for low credit risk countries and during times of heightened market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by liquidity. We conclude that credit quality matters for bond valuation but that, in times of market stress, investors chase liquidity, not credit quality.

/pdf/flight-to-quality-or-flight-to-liquidity-evidence-from-the-2zhrqzbfhz.pdf

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Trading and arbitrage in cryptocurrency markets

https://www.federalreserve.gov/pubs/ifdp/2005/840/ifdp840.pdf

International Capital Flows and U.S. Interest Rates

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

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Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve