Size-adapted bond liquidity measures and their asset pricing implications
Year of publication: |
2022
|
---|---|
Authors: | Reichenbacher, Michael ; Schuster, Philipp |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 146.2022, 2, p. 425-443
|
Subject: | Asset pricing | Bid-ask spread | Bond liquidity | Rating downgrades | Trade size | Transaction costs | Transaktionskosten | CAPM | Geld-Brief-Spanne | Liquidität | Liquidity | Theorie | Theory | Schätzung | Estimation | Risikoprämie | Risk premium | Öffentliche Anleihe | Public bond | Marktliquidität | Market liquidity | Anleihe | Bond | Unternehmensanleihe | Corporate bond | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading |
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