The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

default risk and, by extension, corporate bond pricing. Investors consider more technologically innovative bond issuers to … have lower default probabilities; consequently, bonds issued by more innovative firms have lower issuance premiums and …

Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate …

schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a … liquidity provision to force traders to trade at a lower price. By contrast, bonus caps make traders value the asset less than … investors. This should encourage liquidity provision and decrease prices. In contrast to these predictions, we find that under …

of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency …The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity … developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is …

measure that captures company distress levels more accurately. It is found that liquidity, proxied by a trading noise … parameter, can distort asset pricing results through distress risk estimation, and that the existing academic debate between …-to-default measures. When our new liability and liquidity adjusted measure is used, a clearer picture of distress premium emerges. Our …

-sectional variation driven by maturity and credit rating. Other things being equal, longer maturity bonds have lower skewness, and lower … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to …