Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond … term structure and identify economic factors that drive the illiquidity premia. We obtain three main results: (i) The term … structure of illiquidity premia is U-shaped on average but its shape varies over time. (ii) There is a strict separation between …