| Type: | Articles |
| Authors: | Patrick Houweling, Albert Mentink, Ton Vorst |
| Journal: | Journal of Banking and Finance, 29(6), 2005, pp. 1331-1358 |
| Abstract: | We consider nine different proxies (issued amount, listed, euro, on-the-run, age, missing prices, yield volatility, number of contributors and yield dispersion) to measure corporate bond liquidity and use a four-variable model to control for interest rate risk, credit risk, maturity and rating differences between bonds. The null hypothesis that liquidity risk is not priced in our data set of euro corporate bonds is rejected for eight out of nine liquidity proxies. We find significant liquidity premia, ranging from 13 to 23 basis points. A comparison test between liquidity proxies shows limited differences between the proxies. |
| Notes: | This paper was formerly known as How To Measure Corporate Bond Liquidity?. |
| Presentations: |
EFA 2003 (European Finance Association; Glasgow; August 2003)
C.R.E.D.I.T. 2003 (GRETA; Venice; September 2003) Erasmus Finance Day 2004 (ECFR; Rotterdam; December 2004) |
| Links: | SSRN page |
| Download: | bondliq.pdf (337 kB) |
