Liquide Mittel und Investitionsentscheidungen: Ein Optionstheoretischer Ansatz
In: Beiträge Zur Betriebswirtschaftlichen Forschung Ser.
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In: Beiträge Zur Betriebswirtschaftlichen Forschung Ser.
In: Accounting & Finance, Band 60, Heft 1, S. 373-407
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Working paper
In: Review of Derivatives Research, 2019
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We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity premiums are higher with the largest increase for short-term maturities. Moreover, their reaction to changes in fundamentals is only significant during crises: premiums of all maturities depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects.
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In: Bundesbank Series 2 Discussion Paper No. 2011,05
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In: Beiträge zur betriebswirtschaftlichen Forschung 78
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Working paper
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Working paper
In: Forthcoming in The Review of Financial Studies
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In: Energy economics, Band 51, S. 560-569
ISSN: 1873-6181
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