TY - JOUR
T1 - The default and liquidity premia of corporate bonds
T2 - evidence from the trade reporting and compliance engine
AU - Ahn, Yongkil
N1 - Publisher Copyright:
© 2020 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2021
Y1 - 2021
N2 - This study combines information in the Trade Reporting and Compliance Engine (TRACE), the most extensive bond database, with other fixed income data sets in order to quantify the default and liquidity premia in a reduced form framework at the bond level. The results show that the default premium is two to three times as large as the liquidity premium, and the liquidity term structure is not decreasing in the time to maturity.
AB - This study combines information in the Trade Reporting and Compliance Engine (TRACE), the most extensive bond database, with other fixed income data sets in order to quantify the default and liquidity premia in a reduced form framework at the bond level. The results show that the default premium is two to three times as large as the liquidity premium, and the liquidity term structure is not decreasing in the time to maturity.
KW - default
KW - liquidity
KW - term structure
KW - TRACE
UR - https://www.scopus.com/pages/publications/85089599192
U2 - 10.1080/13504851.2020.1808169
DO - 10.1080/13504851.2020.1808169
M3 - Article
AN - SCOPUS:85089599192
SN - 1350-4851
VL - 28
SP - 1271
EP - 1276
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 15
ER -