Publications in Scientific Journals:

W. Aussenegg, L.X. Chen, R. Jelic, D. Maringer:
"Does market liquidity risk affect Euro corporate bond returns more seriously in stress periods?";
Bank Underground, October (2016), 5 pages.

English abstract:
Investors require compensation for holding risky assets - an example is the bond liquidity premium for holding debt assets. In stress conditions, market liquidity can evaporate and lead to disorderly movements in prices. The Bank of Englands recent Financial Stability Report (p.29) documents a decline in the market liquidity of some
government and corporate bonds, accompanied by a reduction in dealer activity. Does market liquidity risk affect bond returns more seriously in stress times than in normal times? Does a higher cost of funding for dealers in stress times cause bond returns to be more sensitive to liquidity shocks? Focusing on Euro-dominated
investment-grade corporate bonds, we conduct a quantitative analysis in a regime-switching model, and confirm a `yes answer to both of these questions.

Electronic version of the publication:

Created from the Publication Database of the Vienna University of Technology.