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The term structure of illiquidity premia · Study

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ArticleThe term structure of illiquidity premia

Alexander Kempf2011

Article2011

The term structure of illiquidity premia

Alexander Kempf · Olaf Korn · Marliese Uhrig‐Homburg

47 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

1987Parsimonious Modeling of Yield Curves 2005Asset pricing with liquidity risk 1990Inference in Linear Time Series Models with some Unit Roots 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2003Forecasting the Term Structure of Government Bond Yields 2012The Aggregate Demand for Treasury Debt 2007Corporate Yield Spreads and Bond Liquidity 2006Liquidity and Asset Prices

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2012Credit Risk in Covered Bonds 2019Do social ties matter for corporate bond yield spreads? Evidence from China

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2017Liquidity measures throughout the lifetime of the U.S. Treasury bondarticle · 17 shared references 2019Measuring the multi-faceted dimension of liquidity in financial markets: A literature reviewarticle · 13 shared references 2013Market Liquidity—Theory and Empirical Evidencechapter · 12 shared references 2012Market Liquidity -- Theory and Empirical Evidencereport · 12 shared references 2017Liquidity and Price Pressure in the Corporate Bond Market: Evidence from Mega-Bondsarticle · 12 shared references 2012Liquidity and Credit Risk Premia in Government Bond Yieldspreprint · 12 shared references

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Year2011

Typearticle

Published2011-12-15

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations47

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2011.12.003

openalex_workW1998025873

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