Browse

Pricing Illiquidity of Corporate Bonds through Static and Dynamic Measures

Cited 0 time in Web of Science Cited 0 time in Scopus
Authors
Miyakawa, Daisuke; Watanabe, Shuji
Issue Date
2012-07
Publisher
Institute of Economic Research, Seoul National University
Citation
Seoul Journal of Economics, Vol.25 No.3, pp. 279-316
Keywords
Bond spreadsIlliquidityPrice dispersionPersistency
Abstract
This paper studies the price impact of corporate bond illiquidity.

Through dynamic panel estimation, price dispersion and resiliency,

which have been used separately in extant studies, are simultaneously

considered to price illiquidity. We find that the dynamic model, which

has both measures, fits better than the static model that incorporates

only price dispersion. We also confirm that the impact of the two

measures systematically react to credit ratings of bonds. These results

imply the importance of considering multiple measures to price

illiquidity.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/78919
Files in This Item:
Appears in Collections:
College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.25 no.1/4 (2012)
  • mendeley

Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

Browse