Estimating liquidity premia in the Spanish government securities market
نویسندگان
چکیده
منابع مشابه
Market Closure , Liquidity Premia , and Return Predictability ∗
In his seminal work, Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that incorporating the well-established time-varying return dynamics across trading and nontrading periods can produce a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisin...
متن کاملMarket Closure , Portfolio Selection , and Liquidity Premia ∗
Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that simply incorporating the well-established time-varying return dynamics across trading and nontrading periods generates a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisingly, the higher ...
متن کاملLiquidity Risk Premia in the International Shipping Derivatives Market
The study examines the existence of liquidity risk premia on freight derivatives returns. The Amihud liquidity ratio and bid-ask spreads are utilized to assess the existence of liquidity premia. Other macroeconomic variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in determining freight derivatives r...
متن کاملEstimating Liquidity Effects in the Housing Market
Where trade is decentralized and information is imperfect, an urban housing market should be organized into separate market segments. Units in more active market segments should sell at a premium if households value asset liquidity. Evidence from the Hong Kong housing market strongly supports the joint hypothesis of market segmentation and transaction-based liquidity effects in the housing mark...
متن کاملPortfolio Choice with Market Closure and Implications for Liquidity Premia
Most existing portfolio choice models ignore the prevalent periodic market closure and the fact that market volatility is significantly higher during trading periods. We find that market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies. In addition, we numerically demonstrate that transaction costs can have a first order...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The European Journal of Finance
سال: 2004
ISSN: 1351-847X,1466-4364
DOI: 10.1080/1351847042000254202