The Term Structure of Bond Liquidity
分析了市场摩擦如何影响有限期限资产的交易量和流动性溢价，发现交易量与期限呈驼峰形关系，且流动性从短期向长期溢出，并用美国公司债数据验证了理论预测。
We analyze the impact of market frictions on the trading volume and liquidity premia of finite-maturity assets when investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors hold only short-term assets) and predicts i) a hump-shaped relation between trading volume and maturity, ii) lower trading volumes of older compared with younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or U-shaped liquidity term structure from bid prices, and v) spillovers of liquidity from short-term to long-term maturities. Empirical tests for U.S. corporate bonds support our theoretical predictions.