Does trading frequency affect subordinated debt spreads?
By: Christopher Bianchi, Diana Hancock, and Laura Kawano.
Contributors: Hancock, Diana, 1955-; Kawano, Laura.
Series: Finance and economics discussion series ;; 2005-08; Finance and economics discussion series (Online) ;; 2005-08.
Publisher: Federal Reserve Board
Published: 2005
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a banking organization's financial health from such bonds may be obscured.  To examine the time-series effect of trading frequency on subordinated debt spreads, we consider the liquidity of subordinated debt for large, complex U.S.  banking organizations over the 1987:Q2 - 2002:Q4 period.  Since trade volumes are unobservable, we construct various measures of weekly trading frequency from observed bond prices.  Using these indirect liquidity measures, we find evidence that trading frequency does significantly affect observed subordinated debt spreads.  We also provide estimates for the premium of illiquidity"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 2/3/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.