| Autor: |
Alonso, Francisco, Blanco, Roberto, Del Río, Ana, Sanchis, Alicia |
| Předmět: |
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| Zdroj: |
European Journal of Finance; Dec2004, Vol. 10 Issue 6, p453-474, 22p, 5 Charts, 5 Graphs |
| Abstrakt: |
This paper investigates 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 suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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