Haitao Li is at the University of Michigan, Junbo Wang is at City University of Hong Kong and University of Arkansas, Chunchi Wu is at Singapore Management University and University of Missouri-Columbia, and Yan He is at Indiana University Southeast. We are very grateful to the Editor, Robert Stambaugh, and an anonymous referee for guidance and very helpful comments. We thank Chris Anderson, Warren Bailey, Michael Brandt, Paul Brockman, Charles Chang, David Easley, Grace Qing Hao, Kenneth Kavajecz, Bill Lesser, Sandra Mortal, David Ng, Maureen O'Hara, Christine Parlour, Paolo Pasquariello, Lubos Pastor, Andy Puckett, Albert Wang, David West, Xuemin Sterling Yan, Kathy Yuan, and seminar participants at Cornell University, City University of Hong Kong, Syracuse University, University of Kansas, University of Missouri at Columbia, and the 2006 American Finance Association Meeting for helpful comments and suggestions. We also thank Lubos Pastor for providing data on the equity market liquidity factor and Ken French for making the Fama–French factor portfolios available on his Web site.
Are Liquidity and Information Risks Priced in the Treasury Bond Market?
Version of Record online: 23 JAN 2009
© 2009 the American Finance Association
The Journal of Finance
Volume 64, Issue 1, pages 467–503, February 2009
How to Cite
LI, H., WANG, J., WU, C. and HE, Y. (2009), Are Liquidity and Information Risks Priced in the Treasury Bond Market?. The Journal of Finance, 64: 467–503. doi: 10.1111/j.1540-6261.2008.01439.x
- Issue online: 23 JAN 2009
- Version of Record online: 23 JAN 2009
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