Schuster, Philipp; Trapp, Monika; Uhrig-Homburg, Marliese - Institut für Finanzmarktforschung, Wirtschafts- und … - 2013
We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … illiquidity spills over from short-term to long-term maturities. Our model predicts i) a hump-shaped relation between trading … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term …