search query: @author Alonso, F. (et al.) / total: 1
reference: 1 / 1
« previous | next »
Author: | Alonso, F. (et al.) |
Title: | Estimating liquidity premia in the Spanish government securities market |
Journal: | European Journal of Finance
2004 : DEC, VOL 10:6 453-474 |
Index terms: | Benchmarking Spain |
Freeterms: | Bid-ask spread Liquidity premium Benchmark |
Language: | eng |
Abstract: | This article examines the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results indicate the existence of a liquidity premium for post-benchmark bonds. |
« previous | next »
SCIMA