Publications
Detailed Information
Pricing Illiquidity of Corporate Bonds through Static and Dynamic Measures
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Miyakawa, Daisuke | - |
dc.contributor.author | Watanabe, Shuji | - |
dc.date.accessioned | 2012-09-06T02:33:01Z | - |
dc.date.available | 2012-09-06T02:33:01Z | - |
dc.date.issued | 2012-07 | - |
dc.identifier.citation | Seoul Journal of Economics, Vol.25 No.3, pp. 279-316 | - |
dc.identifier.issn | 1225-0279 | - |
dc.identifier.uri | https://hdl.handle.net/10371/78919 | - |
dc.description.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. | - |
dc.language.iso | en | - |
dc.publisher | Institute of Economic Research, Seoul National University | - |
dc.subject | Bond spreads | - |
dc.subject | Illiquidity | - |
dc.subject | Price dispersion | - |
dc.subject | Persistency | - |
dc.title | Pricing Illiquidity of Corporate Bonds through Static and Dynamic Measures | - |
dc.type | SNU Journal | - |
dc.citation.journaltitle | Seoul Journal of Economics | - |
dc.citation.endpage | 316 | - |
dc.citation.number | 3 | - |
dc.citation.pages | 279-316 | - |
dc.citation.startpage | 279 | - |
dc.citation.volume | 25 | - |
- Appears in Collections:
- Files in This Item:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.