کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
962381 | 930083 | 2010 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
Using a unique data set, this paper studies the relationship between market liquidity risk and sovereign bond risk premia. The London Stock Exchange during the late 19th century is an ideal laboratory in which to examine the effect of market liquidity on sovereign bond prices. This period was the last time when the debt of a heterogeneous set of countries was traded in a centralized location and for which sufficiently long time series of observable bond prices are available to conduct asset-pricing tests. Empirical analysis of these data establishes two results. First, illiquid sovereign bonds carry larger factor loadings on market liquidity than liquid bonds. The difference in average excess returns is not only due to the larger transaction costs associated with holding illiquid bonds but also to the greater sensitivity of the returns of illiquid bonds to fluctuations in market liquidity. Second, excess bond returns are linearly related to the returns of a liquidity-mimicking portfolio in the cross-section, indicating that market liquidity is a priced common risk factor. At about 2.8% per year, the price for bearing liquidity risk is economically significant. Overall, this evidence underscores the importance of understanding the effect of market liquidity on bond prices, even in an economic environment that seems remote from today's.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Economics - Volume 82, Issue 2, November 2010, Pages 219-229
Journal: Journal of International Economics - Volume 82, Issue 2, November 2010, Pages 219-229
نویسندگان
Ron Alquist,