Bond Liquidity Premia

By Jean-Sébastien Fontaine, René Garcia. 2012

287 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/cb15d379c335f444052589ef856ad3dd669a7c42

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. Stefan Ruenzi
2. F. Weigert
3. Vikas Agarwal
4. Melvyn Teo
5. Claudia Czado
6. Andrew J. Patton
7. Martin Eling
8. Narayan Naik

Citations in the corpus

• Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, result): “For the sake of comparison, we report the results of the Fung and Hsieh (2004) seven-factor model as our baseline model in the first column (which corresponds to the results from column (4) in Panel A).”
• The Term Structure of Interbank Risk (2012, unknown): “This measure reflects funding cost differentials between securities that differ in their market liquidity.33 The second proxy is the Fontaine and Garcia (2011) liquidity factor.”