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Bond Returns, Liquidity, and Missing Data · Study

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ArticleBond Returns, Liquidity, and Missing Data

Arthur Warga1992

Article1992

Bond Returns, Liquidity, and Missing Data

289 citations·0/0 files stored·Journal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Credit Risk and Financial Regulations

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References

1986Asset pricing and the bid-ask spread 1975THE TAX‐ADJUSTED YIELD CURVE 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’1959Determinants of Risk Premiums on Corporate Bonds

Cited by

2007Stock and Bond Market Liquidity: A Long-Run Empirical Analysis 2020Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity 2006Search and endogenous concentration of liquidity in asset markets 2008Latent liquidity: A new measure of liquidity, with an application to corporate bonds 2010Information uncertainty, information asymmetry and corporate bond yield spreads 1998Tax and Liquidity Effects in Pricing Government Bonds 2007Liquidity premia in dynamic bargaining markets 2005The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market

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1998Tax and Liquidity Effects in Pricing Government Bondsarticle · 3 shared references 2012Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crisesarticle · 2 shared references 2004Implied Equity Duration: A New Measure of Equity Riskarticle · 2 shared references 2004Comparing possible proxies of corporate bond liquidityarticle · 2 shared references 2005The endogeneity bias in the relation between cost-of-debt capital and corporate disclosure policyarticle · 2 shared references 2000The determinants of trading volume of high-yield corporate bondsarticle · 2 shared references

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Year1992

Typearticle

Published1992-12-01

VenueJournal of Financial and Quantitative Analysis

ISSN-L0022-1090

Languageen

Citations289

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2307/2331143

openalex_workW2098387993

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