Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Turan G. Bali, Avanidhar Subrahmanyam, and Quan Wen
♦ In this corrigendum, we address three issues in Bali, Subrahmanyam, and Wen
(BSW) (2021). First, we included in BSW an inaccurate description of the database
employed, which we now correct. Second, we correct the description of one of the
control variables, bond illiquidity, employed in BSW. Finally, in light of the
shortcomings of the Bai, Bali, and Wen (BBW) (2019) factors that are highlighted
by Dickerson, Mueller, and Robotti (2023), we replace the 4-factor model of BBW
with alternative factor models.
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