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- W3157434055 abstract "This paper examines liquidity pricing in emerging market corporate bonds that are traded in the US market. Average market-wide effective bid-ask spreads are 0.51%, and rise to 1.12% during the financial crisis. Using time series regressions, we find that portfolios with illiquid bonds perform worst when market liquidity deteriorates. Fama-MacBeth regressions with forward looking expected returns as the dependent variable show evidence in favor of a negatively priced liquidity risk factor, which is in accordance with standard theory. Portfolio characteristics proxying for the liquidity level are also important determinants of the cross-sectional variation in expected returns of emerging market corporate bonds, and reduce the effect of the liquidity risk factor. The results for a matching sample of US bonds show a different pattern: with only market risk and liquidity risk factors, the price of liquidity risk is counter-intuitively positive. When controlling for liquidity level proxies, the liquidity risk premium vanishes for the US bonds." @default.
- W3157434055 created "2021-05-10" @default.
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- W3157434055 date "2019-01-01" @default.
- W3157434055 modified "2023-09-24" @default.
- W3157434055 title "Liquidity Pricing in Emerging Market Corporate Bonds" @default.
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- W3157434055 doi "https://doi.org/10.2139/ssrn.3493243" @default.
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