Are Liquidity and Information Risks Priced in the Treasury Bond Market

By Haitao Li, Junbo Wang, Chunchi Wu, Yan He. 2009

123 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1b73f883bf0e6256e131346e30e68f161980b6d9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Koen Inghelbrecht
2. Geert Bekaert
3. Lieven Baele
4. Massimo Guidolin
5. Allan G. Timmermann
6. Eric Ghysels
7. Andrew J. Patton
8. Heikki Lehkonen

Citations in the corpus

• The Determinants of Stock and Bond Return Comovements (2010, background): “, Schwert 1989), some more recent articles did find a link. Flannery and Protopapadakis (2002) show links between stock market volatility and inflation and money growth; Hamilton and Lin (1996) establish a business cycle link for stock market volatility; and Diebold and Yilmaz (2009) and Engle and R”
• Private Equity Performance and Liquidity Risk (2012, unknown): “This evidence has been extended to emerging markets (Bekaert, Harvey, and Lundblad (2007)), bond markets (Beber, Brandt, and Kavajecz (2008), Chordia, Sarkar, and Subrahmanyam (2005), Li et al. (2009), and”