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| 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. |
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