Liquidity risk premia : an empirical analysis of european corporate bond yields
In this study we highlight the importance of liquidity risk, especially in periods of market stress, and advocate in favour of an explicit consideration of a liquidity premium when using mark-to-model methodologies to value financial assets. For European corporate bonds, we show that the liquidity p...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2015
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| Texto completo: | http://hdl.handle.net/10400.5/10083 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/10083 |