| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5090047 | Journal of Banking & Finance | 2012 | 11 Pages |
Abstract
⺠We investigate the term structure of bond market illiquidity premia. ⺠The term structure of illiquidity premia varies greatly over time. ⺠The short end and the long end of the term structure are strictly separated. ⺠Liquidation risk captured by asset market volatilities drives the short end. ⺠The long end depends on the long-term economic outlook.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Alexander Kempf, Olaf Korn, Marliese Uhrig-Homburg,