Liquidity, Labels, and Medium-Term Notes

32 Pages Posted: 21 Mar 2001

See all articles by Donald J. Mullineaux

Donald J. Mullineaux

University of Kentucky - Gatton College of Business and Economics

Ivan C. Roten

Appalachian State University - John A. Walker College of Business

Date Written: January 2001

Abstract

We suggest that the medium-term note market provides an excellent laboratory for exploring the relationships between yield, liquidity, and the label affixed to a financial instrument. Crabbe and Turner (1995) examined the liquidity issue and uncovered the counter-intuitive result that issue size is unrelated to liquidity. Their study failed to examine a potential channel for a liquidity effect, however, in the form of multiple issues from a single, typically large, MTN registration filing. We find evidence that file size is significantly related to yield in a number of instances. Several other proxies for liquidity, such as frequency of issue, are also sometimes significantly related to yields. Contrary to Crabbe and Turner (1995), we find that labeling a security an MTN can have an impact on its yield. The label "note" also appears to matter for yield in some instances.

Keywords: Liquidity, medium-term notes, yield

JEL Classification: G10

Suggested Citation

Mullineaux, Donald J. and Roten, Ivan C., Liquidity, Labels, and Medium-Term Notes (January 2001). Available at SSRN: https://ssrn.com/abstract=261734 or http://dx.doi.org/10.2139/ssrn.261734

Donald J. Mullineaux (Contact Author)

University of Kentucky - Gatton College of Business and Economics ( email )

550 South Limestone
Lexington, KY 40506
United States
859-257-2890 (Phone)
859-257-9688 (Fax)

Ivan C. Roten

Appalachian State University - John A. Walker College of Business ( email )

Department of Finance, Banking, and Insurance 3066 Raley Hall
Boone, NC 28608
United States
828.262.6943 (Phone)
828.262.6612 (Fax)

Do you want regular updates from SSRN on Twitter?

Paper statistics

Downloads
338
Abstract Views
2,936
rank
122,832
PlumX Metrics