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How Important is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange
16 references·3 citing·29 second hopsampled
How Important is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange (2008)How Important is Liquidity Risk for Sover…Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Expected Return…Corporate Yield Spreads and Bond Liquidity (2007)Corporate Yield Spreads and B…Portfolio Selection in Stochastic Environments (2006)Portfolio Selection in Stocha…A liquidity-augmented capital asset pricing model (2006)A liquidity-augmented capital…Liquidity of emerging markets (2005)Liquidity of emerging marketsAsset 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…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 …A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…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…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Measuring Sovereign Bond Market Integration (2019)Measuring Sovereign Bond Mark…Economically irrational pricing of nineteenth-century British government bonds (2016)Economically irrational prici…Was the emergence of the international gold standard expected? Evidence from Indian Government securities (2012)Was the emergence of the inte…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)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)Limited-dependent and qualitative variables in econometrics (1983)Continuous Auctions and Insider Trading (1985)Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data (2009)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Illiquidity of Corporate Bonds (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Do Shareholders Benefit from Green Bonds? (2018)Liquidity and leverage (2008)Market liquidity as a sentiment indicator (2004)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)
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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
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1999A New Estimate of Transaction Costs1,340 cited
  • 2007Corporate Yield Spreads and Bond Liquidity1,087 cited
  • 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,081 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 2006A liquidity-augmented capital asset pricing model891 cited
  • 2005Liquidity of emerging markets838 cited
  • 2006Portfolio Selection in Stochastic Environments

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Cited by

  • 2016Economically irrational pricing of nineteenth-century British government bonds27 cited
  • 2019Measuring Sovereign Bond Market Integration23 cited
  • 2012Was the emergence of the international gold standard expected? Evidence from Indian Government securities22 cited