کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960475 | 929474 | 2008 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Latent liquidity: A new measure of liquidity, with an application to corporate bonds
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
We present a new measure of liquidity known as “latent liquidity” and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, in which the weights are the fractional investor holdings. It can be used to measure liquidity in markets with sparse transactions data. For bonds that trade frequently, our measure has predictive power for both transaction costs and the price impact of trading, over and above trading activity and bond-specific characteristics thought to be related to liquidity. Additionally, this measure exhibits relationships with bond characteristics similar to those of other trade-based measures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 88, Issue 2, May 2008, Pages 272–298
Journal: Journal of Financial Economics - Volume 88, Issue 2, May 2008, Pages 272–298
نویسندگان
Sriketan Mahanti, Amrut Nashikkar, Marti Subrahmanyam, George Chacko, Gaurav Mallik,