Liquidity premium in global corporate bonds.

• Main Authors: Hu, Enwei., Chiang, Spencer Weijie., Tan, Jason Seng Giap.
• Other Authors: Zhang Lei
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Fixed income::Bonds
• Online Access: http://hdl.handle.net/10356/43849
• Institution: Nanyang Technological University

This paper examines the effect of liquidity shocks on the pricing of corporate bonds from a global perspective. We study the exposure of global corporate bond returns to the equities markets and sovereign liquidity risk over the period of 1999 to 2009. We discover that there is negative relationship...