33 F.A.Longstaff,“How MuchCan Marketability Affect
Security Values?”Journal of Finance50 (1995): 1767–1774.
34 Y.Amihud andH.Mendelson,“Liquidity,Maturityand
theYieldonU.S.TreasurySecurities,”JournalofFinance 46
(1991): 1411–1425.
35 A.Kamara, “Liquidity,Taxes,and Short-TermYields,”
Journal of Financial and Quantitative Analysis 29 (1994):
403–417.
36 I.Strebulaev,“LiquidityandAssetPricing:Evidencefrom
theUSTreasuriesMarket,”workingpaper,LondonBusiness
School, 2002.
37 Whenanassetdoesnottradeduringaperiod,thereturn
willbezeroduringtheperiod.Countingthenumberofzero
return periods can provide one proxy for illiquidity.
38 L.Chen, D.A. Lesmond,and J.Wei, “Corporate Yield
Spreads and Bond Liquidity,” working paper, SSRN, 2005.
39 C.Bianchi,D.Hancock,andL.Kawano,“DoesTrading
Frequency Affect Subordinated Debt Spreads?” working
paper, Federal Reserve Bank, Washington D.C., 2004. To
measureliquidity,theyconsiderwhethera“genericprice”is
availableonBloombergforabond.Sinceagenericpriceis
available onlywhena bondtrades,itbecomesaproxy for
liquiditywithmoreliquidbondshavingmoregenericprices
listed for them.
40 Thisbecomesclearwhenwelookatforward-lookingor
implied equity risk premiums rather than historical risk