Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85971
Authors: 
Houweling, Patrick
Mentink, Albert
Vorst, Ton
Year of Publication: 
2003
Series/Report no.: 
Tinbergen Institute Discussion Paper 03-030/2
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.
Subjects: 
liquidity
corporate bonds
Fama-French model
euro market.
JEL: 
C13
G12
Document Type: 
Working Paper

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