PhD Studentship – The initial focus of this project is on data driven methods for establishing liquidity premia
The project will involve considerable time discussing what data might be available from corporate sponsor, Partnership’s data providers and contacts in the investment business.
This data will include both a wide variety of explanatory variables, and response variables. Response variables might be either explicit statistics such as bid-offer spreads, tick-by-tick buying and selling prices (with volume traded) or implicit statistics that are believed to be good proxies for representing the liquidity of a bond.
The project will also enable the development of new structural models extending, for example, that of Leland and Toft and which might include explicit allowance for a liquidity premium.
| ARC research project: | Liquidity Risk Premium on Corporate Bonds |
|---|---|
| ARC scholar: | Paul van Loon |
| University: | Heriot Watt University |
| Period of research: | September 2012 – January 2017 |
| Industry sponsors: | Partnership |
| Academic supervisors: | Andrew Cairns, Alex McNeil |
| Outputs: |
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