Are Liquidity and Information Risks Priced in the Treasury Bond Market?

• 成果类型: Article
• 署名作者: Li, Haitao; Wang, Junbo; Wu, Chunchi; He, Yan
• 署名单位: University of Michigan System; University of Michigan; City University of Hong Kong; University of Arkansas System; University of Arkansas Fayetteville; Singapore Management University; University of Missouri System; University of Missouri Columbia; Indiana University System; Indiana University Southeast
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01439.x
• 发表日期: 2009
• 页码: 467-503
• 关键词: cross-section; informed traders; asset prices; STOCK; microstructure; returns; volume; illiquidity; DISCOVERY; IMPACT

摘要

We provide a comprehensive empirical analysis of the effects of liquidity and information risks on expected returns of Treasury bonds. We focus on the systematic liquidity risk of Pastor and Stambaugh as opposed to the traditional microstructure-based measures of liquidity. Information risk is measured by the probability of information-based trading (PIN). We document a strong positive relation between expected Treasury returns and liquidity and information risks, controlling for the effects of other systematic risk factors and bond characteristics. This relation is robust to many empirical specifications and a wide variety of traditional liquidity and informed trading proxies.