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 journal › peer-review

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

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DOI

DOI
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Link to Scopus https://www.scopus.com/record/display.uri?eid=2-s2.0-58849092231&origin=recordpage
Permanent Link https://scholars.cityu.edu.hk/en/publications/publication(5f43ab3b-a8ce-47fd-a585-ec189d283cdd).html

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.

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100
Liquidity Business & Economics
50
Microstructure Business & Economics
50
Risk factors Business & Economics
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Are liquidity and information risks priced in the treasury bond market? / Li, Haitao; Wang, Junbo; Wu, Chunchi et al.

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 journal › peer-review