Risk preference: over-reacting,
“noise” trading, short-term returns.(Black, 1986; Barber, 2008)
Risk-taking
Demand : more investment alternatives. (Sun, 2000; Karolyi, 2002)
rate risk
rating bonds. (Fama, &French, 1993)
difference Liquidity risk
(-)
• Important for bond pricing. (Amihud, 1991; Li, 2009)
Price difference
difference
dliqit liqEXit liqIBit
•liq: Amivest liquidity ratio. •Widely used.(Berkman, 1998;Cremers et al, 2010)
cross-market T-bonds.
Independent Variables
ddvv oo l:li Rtisk pv reofl eE reXnicte div ffo el reInB ciet
short-term T-bonds
• demandIB: # of members in inter-bank market. Song
returns.(Fama, &French, 1993)
(2014)
➢ Sample
• 129 T-bonds traded both in the interbank market and exchange market • 14 months from Jan, 2014 to Feb, 2015 • From Wind database