Latent liquidity: A new measure of liquidity, with an application to corporate bonds

• 成果类型: Article
• 署名作者: Mahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti; Chacko, George; Mallik, Gaurav
• 署名单位: New York University; State Street Global Advisors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.02.006
• 发表日期: 2008
• 页码: 272-298
• 关键词: fixed income; Corporate bonds; liquidity; asset pricing; Market microstructure

摘要

We present a new measure of liquidity known as latent liquidity and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, in which the weights are the fractional investor holdings. It can be used to measure liquidity in markets with sparse transactions data. For bonds that trade frequently, our measure has predictive power for both transaction costs and the price impact of trading, over and above trading activity and bond-specific characteristics thought to be related to liquidity. Additionally, this measure exhibits relationships with bond characteristics similar to those of other trade-based measures. (C) 2008 Elsevier B.V. All rights reserved.