Abstract

http://ssrn.com/abstract=1293149
 
 

References (37)



 
 

Citations (34)



 


 



Latent Liquidity: A New Measure of Liquidity, with an Application Corporate Bonds


Sriketan Mahanti


affiliation not provided to SSRN

Amrut J. Nashikkar


New York University (NYU) - Department of Finance

Subrahmanyam Marti


affiliation not provided to SSRN

George Chacko


Harvard Business School

Gaurav Mallik


State 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

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Date posted: November 3, 2008  

Suggested Citation

Mahanti, Sriketan and Nashikkar, Amrut J. and Marti, Subrahmanyam and Chacko, George and Mallik, Gaurav, Latent Liquidity: A New Measure of Liquidity, with an Application Corporate Bonds (November 2007). NYU Working Paper No. FIN-07-012. Available at SSRN: http://ssrn.com/abstract=1293149

Contact Information

Sriketan Mahanti
affiliation not provided to SSRN ( email )
Amrut J. Nashikkar
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
+1-212-998-0718 (Phone)
HOME PAGE: http://pages.stern.nyu.edu/~anashikk
Subrahmanyam Marti
affiliation not provided to SSRN
No Address Available
George Chacko
Harvard Business School ( email )
Boston, MA 02163
United States
617-495-6884 (Phone)
Gaurav Mallik
State Street Global Markets ( email )
One Lincoln Street
Boston, MA 02111-2900
United States
Feedback to SSRN


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