Add to ORKGThis study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds
Recent research has shown that default risk accounts for only a part of the total yield spread on ri...
[[abstract]]This study utilizes the liquidity risk associated with Treasury bonds to directly determ...
This study revisits the role of illiquidity as a determinant of corporate bond prices. Using transac...
This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit ris...
This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit ris...
This study investigates green bond premium and liquidity in the Swedish SEK green bond market. Throu...
Using the sample which consists of 139 corporate bonds from the year 2010 to 2017, it is found that ...
International audienceThe green bond market has dramatically expanded especially in Europe but sever...
Liquidity risk has been thought to be an important factor affecting bond pricing. However, measuring...
We develop a structural bond valuation model to simultaneously capture liquidity and credit risk. Ou...
We estimate the nondefault component of corporate bond yield spreads and examine its relationship wi...
Among the many sources of risk explaining corporate bond spreads, the role of liquidity is the least...
The emerging market of Green bonds has seen a positive growth over the recent years in the presence ...
Employing a comprehensive database on transactions of corporate bonds issued by corporations, agenci...
PURPOSE OF THE STUDY The purpose of this study is to provide new empirical evidence on European corp...
Recent research has shown that default risk accounts for only a part of the total yield spread on ri...
[[abstract]]This study utilizes the liquidity risk associated with Treasury bonds to directly determ...
This study revisits the role of illiquidity as a determinant of corporate bond prices. Using transac...
This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit ris...
This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit ris...
This study investigates green bond premium and liquidity in the Swedish SEK green bond market. Throu...
Using the sample which consists of 139 corporate bonds from the year 2010 to 2017, it is found that ...
International audienceThe green bond market has dramatically expanded especially in Europe but sever...
Liquidity risk has been thought to be an important factor affecting bond pricing. However, measuring...
We develop a structural bond valuation model to simultaneously capture liquidity and credit risk. Ou...
We estimate the nondefault component of corporate bond yield spreads and examine its relationship wi...
Among the many sources of risk explaining corporate bond spreads, the role of liquidity is the least...
The emerging market of Green bonds has seen a positive growth over the recent years in the presence ...
Employing a comprehensive database on transactions of corporate bonds issued by corporations, agenci...
PURPOSE OF THE STUDY The purpose of this study is to provide new empirical evidence on European corp...
Recent research has shown that default risk accounts for only a part of the total yield spread on ri...
[[abstract]]This study utilizes the liquidity risk associated with Treasury bonds to directly determ...
This study revisits the role of illiquidity as a determinant of corporate bond prices. Using transac...