haku: @freeterm BID-ASK SPREAD / yhteensä: 5
viite: 3 / 5
Tekijä: | Alonso, F. (et al.) |
Otsikko: | Estimating liquidity premia in the Spanish government securities market |
Lehti: | European Journal of Finance
2004 : DEC, VOL 10:6 453-474 |
Asiasana: | Benchmarking Spain |
Vapaa asiasana: | Bid-ask spread Liquidity premium Benchmark |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA