We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when … considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U-shaped. Empirical tests using …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term … structure when considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or … U-shaped liquidity term structure from bid prices, and v) spill-overs of liquidity from short-term to long …

We present findings on the secondary market liquidity of government and covered bonds in Denmark before, during and … markets but the government bond market experienced a brief but pronounced decline in market liquidity while liquidity in the … autumn of 2008. After the crisis, liquidity in the government bond market quickly rebounded and government bonds again became …

We present findings on the secondary market liquidity of government and covered bonds in Denmark before, during and … markets but the government bond market experienced a brief but pronounced decline in market liquidity while liquidity in the … autumn of 2008. After the crisis, liquidity in the government bond market quickly rebounded and government bonds again became …

Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically … bonds declined, and secondary credit markets became highly illiquid. In this paper we analyze liquidity in bond markets … during financial crises and compare two main theories of liquidity in markets: (1) asymmetric information and adverse …

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …

This paper studies how over-the-counter (OTC) market liquidity was adversely affected by the collapse of securities … on corporate bond market liquidity. We show that the collapse of AIG's securities lending programs in 2008 caused a … substantial and long-lasting reduction in the market liquidity of the corporate bonds that were predominantly held by AIG, even …

market liquidity effects. It uses a unique data set that combines a number of recurring event types. After controlling for … other seasonal factors, liquidity is lower prior to quarter ends, which is attributed to market makers' window dressing …. Seasonal liquidity effects are smaller in case investors can bypass secondary market venues, and market sentiment influences …