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- W1819168196 abstract "We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll’s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond returns, and that these liquidity effects explain a substantial part of the credit spread puzzle. In contrast, we find robust evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple theoretical model that can explain this finding." @default.
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- W1819168196 date "2012-01-01" @default.
- W1819168196 modified "2023-09-29" @default.
- W1819168196 title "An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets" @default.
- W1819168196 doi "https://doi.org/10.2139/ssrn.1762564" @default.
- W1819168196 hasPublicationYear "2012" @default.
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