[R-SIG-Finance] Bond market liquidity

Bastian Offermann bastian2507hk at yahoo.co.uk
Sat Jul 27 05:27:41 CEST 2013


Hi,

does anybody know if there is a 'standard' liquidity factor for 
(corporate or government) bonds (like Pastor and Stambaugh (2003, JPE) 
for equities)  that is freely available or through WRDS, CRSP etc. ? 
Thank you in advance.



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