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
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 467-503 |
Journal / Publication | Journal of Finance |
Volume | 64 |
Issue number | 1 |
Publication status | Published - Feb 2009 |
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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 et al.
In: Journal of Finance, Vol. 64, No. 1, 02.2009, p. 467-503.
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