| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3950 |
| DP3950 Aging Population and Education Finance | |
| Mark Gradstein; Michael Kaganovich | |
| 发表日期 | 2003-06-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This Paper examines the price differences between very liquid on-the-run US Treasury securities and less liquid off-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity varies over time, we can disregard any cross-sectional differences between the securities. Also, since the liquidity of Treasury notes varies predictably over time we are able to distinguish between current liquidity and expected future liquidity. We show that the more liquid security is priced higher on average, but that this difference depends on the amount of expected future liquidity over its remaining lifetime rather than its current liquidity. We measure future liquidity using both quotes and trades. The liquidity measures include bid-ask spread, depth and trading activity. Examining a variety of liquidity measures enables us to evaluate their relative importance and to identify the liquidity proxies that most affect prices. Although all the measures are highly correlated with one another, we find that quoted bid-ask spread and quoted depth are more important than effective spread and trade size, respectively. Among measures of market activity, however, the number of trades and volume are more related to the liquidity premium than the number of quotes. |
| 主题 | Financial Economics |
| 关键词 | Liquidity Asset pricing |
| URL | https://cepr.org/publications/dp3950 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532932 |
| 推荐引用方式 GB/T 7714 | Mark Gradstein,Michael Kaganovich. DP3950 Aging Population and Education Finance. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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