Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009
This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement … the term structure of illiquidity premia is U-shaped on average andvaries strongly over time. We document that different …