Journal Article10.2139/SSRN.687523
Liquidity, Information Risk, and Asset Pricing: Evidence from the U.S. Government Bond Market
TL;DR: The authors examined the effects of liquidity and information risks on expected returns of U.S. government bonds and found that both of them have a significantly positive effect on expected bond returns. But, they did not consider the impact of other factors, such as systematic risks and bond characteristics.
read more
Abstract: We examine the effects of liquidity and information risks on expected returns of U.S. government bonds. Information risk is measured by probability of information-based trading (PIN) derived from the market microstructure model of Easley, Hvidkjaer, and O'Hara (2002). Liquidity risk is captured by sensitivity of individual bond returns to a market-wide liquidity measure along the line of Pastor and Stambaugh (2003). Controlling for systematic risks and bond characteristics, we find that both liquidity and information risks have a significantly positive effect on expected bond returns. Our findings suggest that incorporating microstructure factors into existing term structure models is a promising avenue for improving our understanding of bond price behavior.
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Citations
Pengaruh peringkat, likuiditas, kupon dan maturitas terhadap yield obligasi pada bursa efek indonesia (bei) periode 2013-2014
Neneng Susanti,Muhamad Ruri Permana +1 more
- 12 May 2017
TL;DR: Pasar modal adalah tempat transaksi jual beli saham and obligasi ying betrujuan untuk mendapatkan return as discussed by the authors.
Stock Market Microstructure Measures of Information Asymmetry are Related to Marketwide Information
Clara Vega,Jin Wu +1 more
TL;DR: In this paper, the impact of macroeconomic news on the stock market microstructure measures of information asymmetry was studied, and the results showed that, due to the daily changes in the information environment, daily information asymmetric has a global impact, though on annual basis, the information asymmety measures have significantly positive relations with the firm specific cash flow news constructed by using Vuolteenaho's (2002) vector autoregressive model to decompose the individual stock return into cash flow and discount rate news.
8
PENGARUH LIKUIDITAS DAN LEVERAGE TERHADAP YIELD SUKUK DENGAN PERINGKAT SUKUK SEBAGAI VARIABEL INTERVENING (Study Pada Perusahaan Non Keuangan di Bursa Efek Indonesia )
TL;DR: In this article, the impact of liquidity ratio (current ratio), leverage ratio (debt to equity ratio) toward yield to maturity and sukuk rating was analyzed. But, liquidity ratio did not give significant impact to Yield To Maturity.
7
Information, Investment Adjustment, and the Cost of Capital
Lixin Huang,Qiang Kang +1 more
TL;DR: In this article, the authors extend Easley and O'Hara's (2004) model to show that information adjustment benefits both informed and uninformed investors, so its effect on the cost of capital is opposite to that of information risk.
2
References
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
29.7K
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
TL;DR: In this paper, the effects of stock illiquidity on stock return have been investigated and it was shown that expected market illiquidities positively affects ex ante stock excess return (usually called risk premium) over time.
6K
Liquidity Risk and Expected Stock Returns
Lubos Pastor,Robert F. Stambaugh +1 more
TL;DR: In this article, the authors investigated whether marketwide liquidity is a state variable important for asset pricing and found that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity.
A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati,Paul Pfleiderer +1 more
TL;DR: In this paper, the authors developed a theory that concentrated trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders and provided a partial explanation for some of the recent empitical findings concerning the patterns of volume and price variability in intraday transaction data.