|
|
|
|
||||
|
||||
Latent Liquidity: A New Measure of Liquidity, with an Application Corporate BondsSriketan Mahantiaffiliation not provided to SSRN Amrut J. NashikkarNew York University (NYU) - Department of Finance Subrahmanyam Martiaffiliation not provided to SSRN George ChackoHarvard Business School Gaurav MallikState Street Global Markets November 2007 NYU Working Paper No. FIN-07-012 Abstract: We present a new measure of liquidity known as "latent liquidity" and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, in which the weights are the fractional investor holdings. It can be used to measure liquidity in markets with sparse transactions data. For bonds that trade frequently, our measure has predictive power for both transaction costs and the price impact of trading, over and above trading activity and bond-specific characteristics thought to be related to liquidity. Additionally, this measure exhibits relationships with bond characteristics similar to those of other trade-based measures.
Number of Pages in PDF File: 29 Keywords: Fixed Income, Corporate Bonds, Liquidity, Asset Pricing, Market Microstructure working papers seriesDate posted: November 3, 2008Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo1 in 0.532 seconds
