This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …

Given the sharp increase of bond yield spreads and the considerable losses to the value of bond portfolios during the … recent financial market crisis, the reliable estimation of haircuts on bond values has become increasingly important. The … banking supervisors motivate this too, when they demand institutes to hold an adequate level of liquidity. We analyse …

for the risk of the bond. Economically, the size of the liquidity premium of Mittelstand bonds is approximately twice the …We estimate a cross-sectional model of the yield spreads of German Mittelstand bonds as a function of liquidity … measures as well as a number of variables that control for both the characteristics of the issuing firm and the bond …