Author: Diogo Palhares
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
Book Description
Across multiple measures of “liquidity” and a variety of methods to control for correlated characteristics of more (less) liquid bonds, we find only limited evidence of a liquidity premium in the cross section of corporate bonds. Specifically, while illiquid bonds have slightly higher credit spreads and directionally higher average returns, portfolios that tilt toward (away from) less (more) liquid bonds exhibit considerably higher levels of volatility. Economically, the low Sharpe ratios of illiquidity-factor-mimicking portfolios are hard to justify for an investor. This is puzzling, as theory suggests investors should demand a risk premium for holding less-liquid assets.
(Il)liquidity Premium in Credit Markets
Liquidity Premium in Average Interest Rates
The Liquidity Premium in Average Interest Rates
Author: Wilbur John Coleman
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 34
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 34
Book Description
Liquidity Premium in a Credit Constrained Environment
Author: Claudian Siu-kit Kwok
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 44
Book Description
The Cyclical Behavior of the Term Structure of Interest Rates
Author: Reuben A. Kessel
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 132
Book Description
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 132
Book Description
The Liquidity Premium of Near-money Assets
Author: Stefan Nagel
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 48
Book Description
Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices in the form of a liquidity premium. I relate time variation in this liquidity premium to changes in the opportunity cost of money: The liquidity service benefits of near-money assets are more valuable when short-term interest rates are high and hence the opportunity cost of holding money is high. Consistent with this prediction, the liquidity premium of T-bills and other near-money assets is strongly positively correlated with the level of short-term interest rates. Once short-term interest rates are controlled for, Treasury security supply variables lose their explanatory power for the liquidity premium. I argue that an analysis of scarcity and price of near-money assets is incomplete without taking into account the substitution relationship with money and its supply by the central bank. Payment of interest on reserves (IOR) could potentially reduce liquidity premia because IOR reduces the opportunity cost of at least one type of money (reserves). In the UK and Canada, however, the introduction of IOR did not shrink liquidity premia. Apparently, the reduction in banks' opportunity cost of money did not result in a broader fall in the opportunity costs of money for non-bank market participants.
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 48
Book Description
Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices in the form of a liquidity premium. I relate time variation in this liquidity premium to changes in the opportunity cost of money: The liquidity service benefits of near-money assets are more valuable when short-term interest rates are high and hence the opportunity cost of holding money is high. Consistent with this prediction, the liquidity premium of T-bills and other near-money assets is strongly positively correlated with the level of short-term interest rates. Once short-term interest rates are controlled for, Treasury security supply variables lose their explanatory power for the liquidity premium. I argue that an analysis of scarcity and price of near-money assets is incomplete without taking into account the substitution relationship with money and its supply by the central bank. Payment of interest on reserves (IOR) could potentially reduce liquidity premia because IOR reduces the opportunity cost of at least one type of money (reserves). In the UK and Canada, however, the introduction of IOR did not shrink liquidity premia. Apparently, the reduction in banks' opportunity cost of money did not result in a broader fall in the opportunity costs of money for non-bank market participants.
An Estimate of the Liquidity Premium
Author: J. Huston McCulloch
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 138
Book Description
Publisher:
ISBN:
Category : Interest
Languages : en
Pages : 138
Book Description
Risk and Liquidity
Author: Hyun Song Shin
Publisher: OUP Oxford
ISBN: 0191613835
Category : Business & Economics
Languages : en
Pages : 205
Book Description
This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.
Publisher: OUP Oxford
ISBN: 0191613835
Category : Business & Economics
Languages : en
Pages : 205
Book Description
This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.
Market Liquidity
Author: Yakov Amihud
Publisher: Cambridge University Press
ISBN: 0521191769
Category : Business & Economics
Languages : en
Pages : 293
Book Description
This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
Publisher: Cambridge University Press
ISBN: 0521191769
Category : Business & Economics
Languages : en
Pages : 293
Book Description
This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
The Liquidity Premium in Equity Pricing Under a Continuous Auction System
Author: G. Rubio
Publisher:
ISBN:
Category : Liquidity (Economics)
Languages : en
Pages : 58
Book Description
Publisher:
ISBN:
Category : Liquidity (Economics)
Languages : en
Pages : 58
Book Description