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The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns
16 references·16 citing·33 second hopsampled
The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010)The Term Structure of Bond Market Liquidi…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Liquidity and Asset Prices (2006)Liquidity and Asset PricesAsset pricing with liquidity risk (2005)Asset pricing with liquidity …An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Investor strategies in the green bond market: The influence of liquidity risks, economic factors and clientele effects (2022)Investor strategies in the gr…Benchmark interest rates when the government is risky (2020)Benchmark interest rates when…Sovereign bond return prediction with realized higher moments (2019)Sovereign bond return predict…Liquidity of financial markets: a review (2019)Liquidity of financial market…Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? (2016)Sovereign credit risk, liquid…Predictability in bond returns using technical trading rules (2016)Predictability in bond return…Seasonal Variation in Treasury Returns (2015)Seasonal Variation in Treasur…Bank liquidity creation and asset market liquidity (2015)Bank liquidity creation and a…Treasury Bond Illiquidity and Global Equity Returns (2014)Treasury Bond Illiquidity and…Term Structure Estimation, Liquidity-Induced Heteroskedasticity and the Price of Liquidity Risk (2014)Term Structure Estimation, Li…The Microstructure of the European Sovereign Bond Market: A Study of the Euro-Zone Crisis (2013)The Microstructure of the Eur…Market Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Market Liquidity -- Theory and Empirical Evidence (2012)Market Liquidity -- Theory an…The term structure of illiquidity premia (2011)The term structure of illiqui…The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics (2011)The Stock-Bond Return Relatio…Observing bailout expectations during a total eclipse of the sun (2010)Observing bailout expectation…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)A Theory of the Term Structure of Interest Rates (1985)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Continuous Auctions and Insider Trading (1985)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)An equilibrium characterization of the term structure (1977)Discretion versus policy rules in practice (1993)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Liquidity and leverage (2008)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited

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  • 2006Liquidity and Asset Prices821 cited
  • Cited by

    • 2016Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?103 cited
    • 2013Market Liquidity—Theory and Empirical Evidence101 cited
    • 2014Term Structure Estimation, Liquidity-Induced Heteroskedasticity and the Price of Liquidity Risk67 cited
    • 2022Investor strategies in the green bond market: The influence of liquidity risks, economic factors and clientele effects61 cited
    • 2020Benchmark interest rates when the government is risky55 cited
    • 2015Bank liquidity creation and asset market liquidity54 cited
    • 2012Market Liquidity -- Theory and Empirical Evidence54 cited
    • 2011The term structure of illiquidity premia47 cited
    • 2015Seasonal Variation in Treasury Returns44 cited
    • 2011The Stock-Bond Return Relation, the Term Structure’s Slope, and Asset-Class Risk Dynamics43 cited
    • 2019Sovereign bond return prediction with realized higher moments41 cited
    • 2016Predictability in bond returns using technical trading rules37 cited
    • 2014Treasury Bond Illiquidity and Global Equity Returns35 cited
    • 2013The Microstructure of the European Sovereign Bond Market: A Study of the Euro-Zone Crisis35 cited
    • 2010Observing bailout expectations during a total eclipse of the sun34 cited
    • 2019Liquidity of financial markets: a review32 cited