The term structure of illiquidity premia

摘要: Abstract We investigate the term structure of bond market illiquidity premia and show that varies greatly over time. Short long end are strictly separated suggesting different economic factors drive parts structure. propose a stylized theoretical model which implies current trading needs investors determine short end. The long-term risk being forced to liquidate positions determines Empirical evidence supports these predictions. While short-term liquidation captured by asset volatilities drives end, depends on outlook.