Arbeitspapier
How to measure Corporate Bond Liquidity?
We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 basis points. A comparison test betweenliquidity measures shows that some ways to measure liquidity are better than others.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 03-030/2
- Klassifikation
-
Wirtschaft
Estimation: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
liquidity
corporate bonds
Fama-French model
euro market.
Unternehmensanleihe
Geldsubstitut
Messung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Houweling, Patrick
Mentink, Albert
Vorst, Ton
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Houweling, Patrick
- Mentink, Albert
- Vorst, Ton
- Tinbergen Institute
Entstanden
- 2003
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