A new measure of corporate bond liquidity using survival analysis

Journal of Finance and Data Science

Peter Yesley¹  Kaihua Cai² 

[1] Corresponding author.;Bank of America, One Bryant Park, New York, NY, 10036, USA;

关键词: Corporate bond;    Liquidity;    Risk reduction event;    Waiting time;    Survival analysis;    Generalized linear model;   

DOI  :  

来源: DOAJ

【 摘 要 】

We define liquidity for corporate bonds as the expected waiting time to reduce a risk position. Our methodology addresses the fact that many bonds are liquidated quickly despite having few trades in the recent past. Building on research from the housing market, we apply survival analysis to bond holding times. We generalize across bond properties and market conditions to arrive at a liquidity measure for all corporate bonds, independent of how often they trade and whatever transaction costs they incur.

【 授权许可】

Unknown