References of "Heck, Stéphanie"
     in
Bookmark and Share    
Full Text
See detailLiquidity patterns on the US corporate bond market
Heck, Stéphanie ULg; Margaritis, Dimitri; Muller, Aline ULg

Conference (2014, December 13)

Liquidity commonality exists and empirical evidence (e.g. Lin et al., 2011) indicates that exposure to this common liquidity factor is priced in the cross-section of corporate bonds. The existence of ... [more ▼]

Liquidity commonality exists and empirical evidence (e.g. Lin et al., 2011) indicates that exposure to this common liquidity factor is priced in the cross-section of corporate bonds. The existence of commonality implies that part of a bond’s illiquidity is left as idiosyncratic. In this paper, we study how illiquidity components explain the cross-section of bond yields and how this relationship varies over time and across bond categories. We use a factor decomposition to break down total illiquidity into a common and an idiosyncratic component and analyze how yields relate differentially to each of these two components. We find that a bond’s idiosyncratic illiquidity is important, which might reflect informational asymmetries compounded by the lack of diversification in the institutional investors’ portfolios. Moreover, the relation between illiquidity and yield spreads appears to be negative during the recent crisis period. [less ▲]

Detailed reference viewed: 27 (3 ULg)
Full Text
Peer Reviewed
See detailJapanese central bank interventions and the dispersion of individual exchange rate expectations: differential impact on four moment characteristics
Heck, Stéphanie ULg; Muller, Aline ULg

in International Journal of Behavioral Finance and Accounting (2011), 2(2), 152-177

Detailed reference viewed: 61 (24 ULg)