Journal of Finance Vol. 46 No. 4 1991
Liquidity, Maturity, and the Yields on u.s. Treasury Securities.
Abstract
The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and bills with matched maturities of less than six months). The yield to maturity is higher on notes, which have lower liquidity. The yield differential between notes and bills is a decreasing and convex function of the time to maturity. The results provide a robust confirmation of the liquidity effect in asset pricing.
- Volume
- 46
- Issue
- 4
- Pages
- 1411-25
- Sources
- bibtex:phds-export.bib