We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term …

estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the … are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the … impact of liquidity on ILB yields. This paper summarizes studies concerning ILB liquidity at a glance and adds a new …

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond … segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on … depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield … large investment grade bond trades, relative to before the crisis, and are better for all bond types and trade sizes …

banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …

Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a … lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a …, market makers provide liquidity to the market, which they are compensated for through the difference between the prices at …

, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between … bond illiquidity and synchronicity, and this empirical relation remains after applying robustness checks and endogeneity … controls. Consistent with theoretical model implications, the effect of bond illiquidity as information friction is more …

is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond … risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or …