Are Liquidity and Information Risks Priced in the Treasury Bond Market?

被引：61

作者：

Li, Haitao ^{[1
]}

Wang, Junbo ^{[2
,3
]}

Wu, Chunchi ^{[4
,5
]}

He, Yan ^{[6
]}

机构：

[1] Univ Michigan, Ann Arbor, MI 48109 USA

[2] City Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China

[3] Univ Arkansas, Fayetteville, AR 72701 USA

[4] Singapore Management Univ, Singapore, Singapore

[5] Univ Missouri, Columbia, MO 65211 USA

[6] Indiana Univ SE, New Albany, IN 47150 USA

来源：

JOURNAL OF FINANCE | 2009年 / 64卷 / 01期

关键词：

CROSS-SECTION; INFORMED TRADERS; ASSET PRICES; STOCK; MICROSTRUCTURE; RETURNS; VOLUME; ILLIQUIDITY; DISCOVERY; IMPACT;

D O I：

10.1111/j.1540-6261.2008.01439.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide a comprehensive empirical analysis of the effects of liquidity and information risks on expected returns of Treasury bonds. We focus on the systematic liquidity risk of Pastor and Stambaugh as opposed to the traditional microstructure-based measures of liquidity. Information risk is measured by the probability of information-based trading (PIN). We document a strong positive relation between expected Treasury returns and liquidity and information risks, controlling for the effects of other systematic risk factors and bond characteristics. This relation is robust to many empirical specifications and a wide variety of traditional liquidity and informed trading proxies.

引用

页码：467 / 503

页数：37

共 51 条

[1] Asset pricing with liquidity risk [J].