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Liquidity, Maturity, and the Yields on U.S. Treasury Securities
Author(s) -
AMIHUD YAKOV,
MENDELSON HAIM
Publication year - 1991
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1991.tb04623.x
Subject(s) - treasury , market liquidity , maturity (psychological) , bond , liquidity risk , monetary economics , liquidity premium , yield (engineering) , economics , liquidity crisis , asset (computer security) , business , financial economics , finance , computer science , psychology , developmental psychology , materials science , computer security , archaeology , metallurgy , history
The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and bills with matched maturities of less than 6 months). The yield to maturity is higher on notes, which have lower liquidity. The yield differential between notes and bills is a decreasing and convex function of the time to maturity. The results provide a robust confirmation of the liquidity effect in asset pricing.