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Explaining the on-the-run puzzle with corporate bonds
Anderson, Anthony Jerome; Long, Michael Stuart - In: Review of Pacific Basin financial markets and policies 20 (2017) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10011744090
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Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities
Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162
Persistent link: https://www.econbiz.de/10011797776
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How did the financial crisis alter the correlations of US yield spreads?
Contessi, Silvio; De Pace, Pierangelo; Guidolin, Massimo - In: Journal of empirical finance 28 (2014), pp. 362-385
Persistent link: https://www.econbiz.de/10011285619
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Pricing, dynamics, and determinants of illiquidity risks : international evidence
Saad, Mohsen M.; Samet, Anis - In: Emerging markets review 23 (2015), pp. 124-147
Persistent link: https://www.econbiz.de/10011304170
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Liquidity premium and the Corwin-Schultz bid-ask spread estimate
Zhang, Xindong; Yang, Junxian; Su, Huimin; Zhang, Shun - In: China finance review international 4 (2014) 2, pp. 168-186
Persistent link: https://www.econbiz.de/10011337798
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Risks to consider when investing offshore
Godi, N. J.; Young, J. - In: Corporate ownership & control : international … 11 (2013/14) 1, pp. 32-39
Persistent link: https://www.econbiz.de/10011326938
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Liquidity risk premium and asset pricing in US water transportation
Panayides, Photis M.; Lambertides, Neophytos; … - In: Transportation research / E : an international journal 52 (2013), pp. 3-15
Persistent link: https://www.econbiz.de/10009735740
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A yield spread perspective on the great financial crisis : break-point test evidence
Guidolin, Massimo; Tam, Yu Man - In: International review of financial analysis 26 (2013), pp. 18-39
Persistent link: https://www.econbiz.de/10009717229
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - 2013
We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels from their no-arbitrage values implied by the index constituents' CDS spreads, and we construct a tradable...
Persistent link: https://www.econbiz.de/10010258589
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The Epstein-Zin model with liquidity extension
Liu, Weimin; Luo, Di; Zhao, Huainan - In: The financial review : the official publication of the … 51 (2016) 1, pp. 113-146
Persistent link: https://www.econbiz.de/10011436806