Black, Jeffrey R., Stock, Duane and Yadav, Pradeep K. (2016). The pricing of different dimensions of liquidity: Evidence from government guaranteed bonds. J. Bank Financ., 71. S. 119 - 133. AMSTERDAM: ELSEVIER. ISSN 1872-6372
Full text not available from this repository.Abstract
There are three important dimensions of liquidity: trading costs, depth, and resiliency. We investigate the relevance of each of these three dimensions of liquidity - separately and in conjunction - for the pricing of corporate bonds. Unlike previous studies, our sample allows us to cleanly separate the default and non-default components of yield spreads. We find that each of the above three dimensions of liquidity are priced factors. Overall, in our sample, a one standard deviation change in trading costs, resiliency, and depth measures lead to a change in non-default spreads of 5.00 basis points, 2.27 basis points, and 1.27 basis points, respectively. We also find that both bond-specific and market-wide dimensions of liquidity are priced in non-default spreads. Finally, we find that there does exist in some periods a small residual non-default yield spread that is consistent with an additional flight-to-extreme-liquidity premium reflecting investor preference for assets that enable quickest possible disengagement from the market when necessary. (C) 2016 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-260118 | ||||||||||||||||
DOI: | 10.1016/j.jbankfin.2016.06.008 | ||||||||||||||||
Journal or Publication Title: | J. Bank Financ. | ||||||||||||||||
Volume: | 71 | ||||||||||||||||
Page Range: | S. 119 - 133 | ||||||||||||||||
Date: | 2016 | ||||||||||||||||
Publisher: | ELSEVIER | ||||||||||||||||
Place of Publication: | AMSTERDAM | ||||||||||||||||
ISSN: | 1872-6372 | ||||||||||||||||
Language: | English | ||||||||||||||||
Faculty: | Unspecified | ||||||||||||||||
Divisions: | Unspecified | ||||||||||||||||
Subjects: | no entry | ||||||||||||||||
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Refereed: | Yes | ||||||||||||||||
URI: | http://kups.ub.uni-koeln.de/id/eprint/26011 |
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