Mahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti; … - In: Journal of Financial Economics 88 (2008) 2, pp. 272-298
We present a new measure of liquidity known as "latent liquidity" and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, in which the weights are the fractional investor holdings. It can be used to measure...