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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