Data and Code for "Size-Adapted Bond Liquidity Measures and Their Assets Pricing Implications"
Published: 28 July 2022| Version 1 | DOI: 10.17632/6ydbk4f8kn.1
SAS code to calculate size-adapted bond liquidity measures. The data set provides monthly functional forms and normalization factors that allow to calculate size-adapted liquidity measures for individual bonds without running the iterative procedure described in the paper.
Financial Economics, Asset Pricing, Transaction Cost