Nonlinear structural estimation of corporate bond liquidity

被引：0
|
作者：
Gonzalez, Diego Leal [1 ]
Stanhouse, Bryan [2 ]
Stock, Duane [2 ]
Zhou, Xin Yue [2 ]
机构：
[1] Univ Texas El Paso, Woody L Hunt Coll Business, Business Adm Bldg,Room 229, El Paso, TX 79968 USA
[2] Univ Oklahoma, Price Coll Business, 307 W Brooks, Norman, OK 73019 USA
来源：
REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING | 2025年 / 64卷 / 02期
关键词：
Term structure; Liquidity premiums; Corporate bonds; Signal extraction; Unscented transformations; G00; G12; G19; TERM STRUCTURE; RISK; ILLIQUIDITY; DETERMINANTS; INFORMATION; VOLATILITY; RETURNS; SPREAD;
D O I：
10.1007/s11156-024-01323-y
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We estimate the term structure of corporate bond liquidity premiums using a dual estimation technique. Our estimates reveal that the term structures of the liquidity premiums were positively sloped and concave for each category of creditworthiness and in three economic epochs. As the macroeconomy transitioned from a pre-crisis to a crisis period, liquidity premiums elevated across time to maturity for both investment grade and speculative grade bonds. With the migration of the financial system from stress to relative calm, the premiums on both grades of debt declined for all maturities.
引用
收藏
页码：799 / 827
页数：29
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