Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2003-03-27
Number: 03-030/2
Author-Name: Patrick Houweling
Author-Email: houweling@few.eur.nl
Author-Workplace-Name: Faculty of Economics, Erasmus University Rotterdam
Author-Name: Albert Mentink
Author-Email: amentink@aegon.nl
Author-Workplace-Name: Faculty of Economics, Erasmus University Rotterdam
Author-Name: Ton Vorst
Author-Email: avorst@feweb.vu.nl
Author-Workplace-Name: VU University Amsterdam
Title: How to measure Corporate Bond Liquidity?
Abstract: We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 basis points. A comparison test betweenliquidity measures shows that some ways to measure liquidity are better than others.
Classification-JEL: C13; G12.
Keywords: liquidity; corporate bonds; Fama-French model; euro market.
File-Url: https://papers.tinbergen.nl/03030.pdf
File-Format: application/pdf
File-Size: 277582 bytes
Handle: RePEc:tin:wpaper:20030030