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|
|Academic supervisors:||Andrew Cairns, Alex McNeil|
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