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Author: | Dimson, E. Hanke, B. |
Title: | The expected illiquidity premium: evidence from equity index-linked bonds |
Journal: | Review of finance
2004 : VOL, 8:1, p. 19-47 |
Index terms: | Bonds Finance Financial market trading |
Language: | eng |
Abstract: | This article examines the effect of illiquidity on equity index-linked bonds, which provide the same payoffs as an investment in an equity-index, but are relatively illiquid. The results show that these bonds sell at a discount relative to their underlying value and this apparent mispricing can be attributed to the illiquidity of the bonds. |
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