How to measure Corporate Bond Liquidity?

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How to measure Corporate Bond Liquidity?

Author Info

Patrick Houweling () (Faculty of Economics, Erasmus University Rotterdam)
Albert Mentink () (Faculty of Economics, Erasmus University Rotterdam)
Ton Vorst () (VU University Amsterdam)

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Abstract

We consider eight different measures (issued amount, coupon, listed, age, missing

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 03-030/2.

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Date of creation: 27 Mar 2003
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Handle: RePEc:dgr:uvatin:20030030

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

NEP-ALL-2003-04-27 (All new papers)
NEP-CFN-2003-04-27 (Corporate Finance)
NEP-FIN-2003-04-27 (Finance)
NEP-FMK-2003-04-27 (Financial Markets)
NEP-IFN-2003-04-27 (International Finance)
NEP-RMG-2003-04-27 (Risk Management)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Dept. SEGeS. [Downloadable!]
Astrid Van Landschoot, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank. [Downloadable!]
C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2003. "On credit spread slopes and predicting bank risk," Working Paper 0314, Federal Reserve Bank of Cleveland. [Downloadable!]
Other versions:
- C.N.V. Krishnan & Peter H. Ritchken & James B. Thomson, 2004. "On credit spread slopes and predicting bank risk," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 188-226.
- Krishnan, C. N. V. & Ritchken, P. H. & Thomson, J. B., 2006. "On Credit-Spread Slopes and Predicting Bank Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1545-1574, September. [Downloadable!] (restricted)

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