Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

Bond Liquidity Premia

Jean-Sébastien Fontaine and René Garcia
The Review of Financial Studies
Vol. 25, No. 4 (April 2012), pp. 1207-1254
Stable URL: http://www.jstor.org/stable/41407859
Page Count: 48
  • Download ($42.00)
  • Cite this Item
Bond Liquidity Premia
Preview not available

Abstract

Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding liquidity from the crosssection of Treasury securities. To validate our interpretation, we establish linkages with funding conditions in the repo market, the shadow banking sector, and the overall economy. Looking at asset pricing implications, we find that increases in funding liquidity predict lower risk premia for all Treasury securities but higher risk premia on LIBOR loans, swap contracts, and corporate bonds. The impact of funding conditions on interest rates is large and pervasive throughout crises and normal times.

Page Thumbnails

  • Thumbnail: Page 
[1207]
    [1207]
  • Thumbnail: Page 
1208
    1208
  • Thumbnail: Page 
1209
    1209
  • Thumbnail: Page 
1210
    1210
  • Thumbnail: Page 
1211
    1211
  • Thumbnail: Page 
1212
    1212
  • Thumbnail: Page 
1213
    1213
  • Thumbnail: Page 
1214
    1214
  • Thumbnail: Page 
1215
    1215
  • Thumbnail: Page 
1216
    1216
  • Thumbnail: Page 
1217
    1217
  • Thumbnail: Page 
1218
    1218
  • Thumbnail: Page 
1219
    1219
  • Thumbnail: Page 
1220
    1220
  • Thumbnail: Page 
1221
    1221
  • Thumbnail: Page 
1222
    1222
  • Thumbnail: Page 
1223
    1223
  • Thumbnail: Page 
1224
    1224
  • Thumbnail: Page 
1225
    1225
  • Thumbnail: Page 
1226
    1226
  • Thumbnail: Page 
1227
    1227
  • Thumbnail: Page 
1228
    1228
  • Thumbnail: Page 
1229
    1229
  • Thumbnail: Page 
1230
    1230
  • Thumbnail: Page 
1231
    1231
  • Thumbnail: Page 
1232
    1232
  • Thumbnail: Page 
1233
    1233
  • Thumbnail: Page 
1234
    1234
  • Thumbnail: Page 
1235
    1235
  • Thumbnail: Page 
1236
    1236
  • Thumbnail: Page 
1237
    1237
  • Thumbnail: Page 
1238
    1238
  • Thumbnail: Page 
1239
    1239
  • Thumbnail: Page 
1240
    1240
  • Thumbnail: Page 
1241
    1241
  • Thumbnail: Page 
1242
    1242
  • Thumbnail: Page 
1243
    1243
  • Thumbnail: Page 
1244
    1244
  • Thumbnail: Page 
1245
    1245
  • Thumbnail: Page 
1246
    1246
  • Thumbnail: Page 
1247
    1247
  • Thumbnail: Page 
1248
    1248
  • Thumbnail: Page 
1249
    1249
  • Thumbnail: Page 
1250
    1250
  • Thumbnail: Page 
1251
    1251
  • Thumbnail: Page 
1252
    1252
  • Thumbnail: Page 
1253
    1253
  • Thumbnail: Page 
1254
    1254