Houweling, Patrick; Mentink, Albert; Vorst, Ton - EconWPA - 2002
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 …