Nonlinear structural estimation of corporate bond liquidity

Diego Leal Gonzalez (), Bryan Stanhouse (), Duane Stock () and Xin Yue Zhou ()
Additional contact information
Diego Leal Gonzalez: University of Texas at El Paso
Bryan Stanhouse: University of Oklahoma
Duane Stock: University of Oklahoma
Xin Yue Zhou: University of Oklahoma

Review of Quantitative Finance and Accounting, 2025, vol. 64, issue 2, No 9, 799-827

Abstract: Abstract We estimate the term structure of corporate bond liquidity premiums using a dual estimation technique. Our estimates reveal that the term structures of the liquidity premiums were positively sloped and concave for each category of creditworthiness and in three economic epochs. As the macroeconomy transitioned from a pre-crisis to a crisis period, liquidity premiums elevated across time to maturity for both investment grade and speculative grade bonds. With the migration of the financial system from stress to relative calm, the premiums on both grades of debt declined for all maturities.

Keywords: Term structure; Liquidity premiums; Corporate bonds; Signal extraction; Unscented transformations (search for similar items in EconPapers)
JEL-codes: G00 G12 G19 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11156-024-01323-y Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:64:y:2025:i:2:d:10.1007_s11156-024-01323-y

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

DOI: 10.1007/s11156-024-01323-y

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().