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Measuring Liquidity in Bond Markets · Study

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ArticleMeasuring Liquidity in Bond Markets

Raphael Schestag2013

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Articlegreen2013

Measuring Liquidity in Bond Markets

Raphael Schestag · Philipp Schuster · Marliese Uhrig‐Homburg

238 citations·0/0 files stored·Review of Financial Studies

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

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References

1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 2003Liquidity Risk and Expected Stock Returns 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1991Measuring the Information Content of Stock Trades 2009Do liquidity measures measure liquidity?☆1999A New Estimate of Transaction Costs

Cited by

2019Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds 2019A Survey of the Microstructure of Fixed-Income Markets 2014The Empirical Analysis of Liquidity 2022The Real Effects of Implicit Government Guarantee: Evidence from Chinese State-Owned Enterprise Defaults 2021How to measure the liquidity of cryptocurrency markets?2021The pricing of green bonds: external reviews and the shades of green

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Year2013

Typearticle

Published2013-01-01

VenueReview of Financial Studies

ISSN-L0893-9454

Languageen

Citations238

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1093/rfs/hhv132

openalex_workW3122846200

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2019The evolution of pricing performance of green municipal bonds

2019Annual report readability and stock liquidity