contributors and yield dispersion) to measure corporate bond liquidity and use a five-variable model to control for interest rate … risk, credit risk, maturity, rating and currency differences between bonds. The null hypothesis that liquidity risk is not … priced in our data set of euro corporate bonds is rejected for seven out of eight liquidity proxies. We find significant …

We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory … to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is … significant pricing anomalies due to liquidity exist for euro- denominated bonds. We find that the yield premium between liquid …