SSRNTrading, Microstructure & Execution
Bonds: Maturity and Liquidity
Maturity and Liquidity: A study rejects standard corporate bond factor models in favor of a model featuring the global corporate bond market, a global maturity spread factor, and a global liquidity spread factor, although it doesn't price Japanese Yen bonds well.
Featured in No. 61 on 15 Aug 2024 · 8 days after release
- Released
- 7 Aug 2024
- First featured
- No. 61 · 15 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4925932
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).