Latent liquidity: A new measure of liquidity, with an application to corporate bonds ☆
By Sriketan Mahanti, Amrut J. Nashikkar, Marti G. Subrahmanyam, George K. Chacko, Gaurav Mallik. 2008
223 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/3b21d09c596e577be596fa5031c1c410389fada8
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In Finance
- Marti G. Subrahmanyam
- R. Jankowitsch
- Peter Feldhütter
- N. Friewald
- D. Lando
- Jens Dick‐Nielsen
- Amrut J. Nashikkar
- Jack Bao
Citations in the corpus
- The Volcker Rule and Market-Making in Times of Stress (2016, unknown): “ 14 One notable exception is Mahanti et al. (2008) who propose a latent liquidity measure for corporate bond by using the holding-weighted average turnover rate of bond portfolio of each fund that holds the bond.”
- The Illiquidity of Corporate Bonds (2011, background): “Using a proprietary dataset on institutional holdings of corporate bonds, Nashikkar et al. (2008) and Mahanti, Nashikkar and Subrahmanyam (2008) propose a measure of latent liquidity and examine its connection with the pricing of corporate bonds and credit default swaps. (5)Adding NAIC to the TRACE ”
- Price Dispersion in OTC Markets: A New Measure of Liquidity (2011, methodology): “5See Amihud (2002), Edwards et al. (2007), Chen et al. (2007), and Mahanti et al. (2008), for example.”
- Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, methodology): “Mahanti, Nashikkar, Subramanyam, Chacko, and Mallik (2008) infer a turnover measure for bonds from bond missing, we use the rating from Moody’s and if this is missing, the rating from Fitch.”
- Liquidity and Arbitrage in the Market for Credit Risk (2011, methodology): “Firms with high leverage tend to have For example, refer Mahanti et al. (2007)”
- Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, methodology): “We use directly observable trading activity variables (e.g., the number of trades) and, most important, we employ several alternative liquidity measures proposed in the literature, i.e., the Amihud, Roll, zero-return, and price dispersion measure.”