Pricing Liquidity Risk in the Korean Corporate Bond Market
DC Field | Value | Language |
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dc.contributor.author | Kim, Eunji | - |
dc.contributor.author | Jang, Ga-Young | - |
dc.contributor.author | Kim, Soo-Hyun | - |
dc.date.accessioned | 2023-08-10T05:40:04Z | - |
dc.date.available | 2023-08-10T05:40:04Z | - |
dc.date.created | 2023-05-03 | - |
dc.date.issued | 2023-04 | - |
dc.identifier.issn | 2041-9945 | - |
dc.identifier.uri | http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/44179 | - |
dc.description.abstract | This study investigates the pricing of liquidity risk in the Korean corporate bond market. We use three different liquidity factors - namely, aggregate market liquidity, liquidity innovation, and predicted liquidity. The empirical results show that, while a liquidity premium exists in the Korean corporate bond market when measured by the market liquidity factor, a liquidity discount occurs when measured by the predicted liquidity factor. Drawing on prior studies, we further describe that the lower (higher) returns for portfolios with a high sensitivity to unexpected liquidity shocks may be attributable to the infrequent (frequent) trading of AAA(A)-rated bonds in the Korean market. Finally, our findings suggest that while a liquidity premium exists in expectation, investors are penalized for taking predicted liquidity risks in the Korean corporate bond market. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.relation.isPartOf | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.title | Pricing Liquidity Risk in the Korean Corporate Bond Market | - |
dc.type | Article | - |
dc.identifier.doi | 10.1111/ajfs.12421 | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.52, no.2, pp.264 - 291 | - |
dc.identifier.kciid | ART002958519 | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000963822800001 | - |
dc.identifier.scopusid | 2-s2.0-85151681897 | - |
dc.citation.endPage | 291 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 264 | - |
dc.citation.title | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.citation.volume | 52 | - |
dc.contributor.affiliatedAuthor | Kim, Soo-Hyun | - |
dc.identifier.url | https://onlinelibrary.wiley.com/doi/10.1111/ajfs.12421 | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | N | - |
dc.subject.keywordAuthor | Amihud illiquidity | - |
dc.subject.keywordAuthor | Corporate bonds | - |
dc.subject.keywordAuthor | Liquidity shock | - |
dc.subject.keywordPlus | INFORMATION ASYMMETRY | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | PRICES | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
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