Corporate bond investors are compensated for liquidity and counter-party risk in the yield received in excess of the credit premium and risk-free rate. This paper shows that the liquidity premium as a hedge against uncertain future states is determined by the ratio of excess coupon payments...

Coupon and principal STRIPS maturing at the same date often trade at different yields. This paper analyzes for the first time the maturity structure of these differences for the U.S. Treasury STRIPS market and surprisingly finds that short-term coupon STRIPS persistently trade at lower yields...