Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele...

In this study, we analyze investor trading behavior based not on information-related assumptions but on the search model of Vayanos and Wang (2007). Our study shows that search cost dictates trading polarization across investors, firm size, and time of day. We find that individual investors...

This paper examines the effect of incorporating liquidity into the Nelson-Siegel-Svensson model from the perspective of out-of-sample forecasting ability and trading performance. The liquidity consideration reduces the distortion from concentrated trading activities and significantly increases...