학술저널
Pricing Illiquidity of Corporate Bonds through Static and Dynamic Measures
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 25 No.3
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2012.09279 - 316 (37 pages)
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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.
Abstract
Ⅰ. Introduction
Ⅱ. Related Literature
Ⅲ. Hypothesis Formulation
Ⅳ. Empirical Framework
Ⅴ. Data
Ⅵ. Estimation Results
Ⅶ. Concluding Remarks
References
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