Bond Liquidity Premia

2009 ◽  
Author(s):  
Jean-Sebastien Fontaine ◽  
René Garcia
Keyword(s):  
Bond Liquidity ◽  
Liquidity Premia

Bond Liquidity Premia

2011 ◽  
Vol 25 (4) ◽  
pp. 1207-1254 ◽  
Author(s):  
Jean-Sébastien Fontaine ◽  
René Garcia
Keyword(s):  
Bond Liquidity ◽  
Liquidity Premia

scholarly journals The Liquidity Effects of Official Bond Market Intervention

2018 ◽  
Vol 53 (1) ◽  
pp. 243-268 ◽  
Author(s):  
Michiel De Pooter ◽  
Robert F. Martin ◽  
Seth Pruitt
Keyword(s):  
Sovereign Debt ◽  
Large Scale ◽  
Sovereign Default ◽  
Reduced Form ◽  
Securities Markets ◽  
Sovereign Bond ◽  
Sovereign Bonds ◽  
Market Intervention ◽  
Bond Liquidity ◽  
Liquidity Premia

To “ensure depth and liquidity,” the European Central Bank intervened in sovereign debt markets through its Securities Markets Programme (SMP), providing a unique opportunity to estimate the effects of large-scale asset purchases on sovereign bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions in sovereign bonds’ liquidity premia in response to official purchases. We develop a search-based asset-pricing model to understand our empirical results. The theory implies that bond liquidity premia fall in response to both official purchases and rising sovereign default probabilities, as seen in the data.

Corporate Yield Spreads and Bond Liquidity

CFA Digest ◽  
2007 ◽  
Vol 37 (3) ◽  
pp. 18-19
Author(s):  
Edgar J. Sullivan
Keyword(s):  
Yield Spreads ◽  
Bond Liquidity

Comparing Possible Proxies of Corporate Bond Liquidity

CFA Digest ◽  
2005 ◽  
Vol 35 (4) ◽  
pp. 29-30
Author(s):  
Joseph D.V. Vu
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Market Closure, Portfolio Selection, and Liquidity Premia

2008 ◽  
Author(s):  
Min Dai ◽  
Peifan Li ◽  
Hong Liu
Keyword(s):  
Portfolio Selection ◽  
Liquidity Premia

Bond Liquidity and Dealer Inventories: Insights from US and European Regulatory Data

2020 ◽  
Author(s):  
Plamen Ivanov ◽  
Alexei G. Orlov ◽  
Michael Schihl
Keyword(s):  
Regulatory Data ◽  
European Regulatory ◽  
Bond Liquidity

The Determinants of Dim Sum Bond Liquidity

2020 ◽  
Author(s):  
Lei Meng ◽  
Thanos Verousis ◽  
Vasiliki Delitheou
Keyword(s):  
Bond Liquidity

Liquidity Premia and Transactions Costs

2005 ◽  
Author(s):  
Hong Liu ◽  
Bong-Gyu Jang ◽  
Hyeng Keun Koo ◽  
Mark Loewenstein
Keyword(s):  
Transactions Costs ◽  
Liquidity Premia

A risk not worth taking - The corporate bond liquidity factor

2021 ◽  
Author(s):  
Fabian Dienemann
Keyword(s):  
Corporate Bond ◽  
Bond Liquidity

Bond Liquidity and Investment

2017 ◽  
Author(s):  
Laura Casares Field ◽  
Anahit Mkrtchyan ◽  
Yuan Wang
Keyword(s):  
Bond Liquidity
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