Are liquidity and information risks priced in the treasury bond market?

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

52 Scopus Citations
View graph of relations

Author(s)

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)467-503
Journal / PublicationJournal of Finance
Volume64
Issue number1
Publication statusPublished - Feb 2009

Abstract

We provide a comprehensive empirical analysis of the effects of liquidity and information risks on expected returns of Treasury bonds. We focus on the systematic liquidity risk of Pastor and Stambaugh as opposed to the traditional microstructure-based measures of liquidity. Information risk is measured by the probability of information-based trading (PIN). We document a strong positive relation between expected Treasury returns and liquidity and information risks, controlling for the effects of other systematic risk factors and bond characteristics. This relation is robust to many empirical specifications and a wide variety of traditional liquidity and informed trading proxies. © 2009 The American Finance Association.

Citation Format(s)

Are liquidity and information risks priced in the treasury bond market? / Li, Haitao; Wang, Junbo; Wu, Chunchi; He, Yan.

In: Journal of Finance, Vol. 64, No. 1, 02.2009, p. 467-503.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review