报告题目：Liquidity Risk and Expected Municipal Bond Returns
报 告 人：叶宗颖（台湾中兴大学财金系 教授）
The role of liquidity in asset pricing has been well-documented in the literature and regarded as an important pricing factor for a wide range of assets.The liquidity factor becomes more important for asset pricing in times of stress.However, we know very little about the importance of liquidity in the pricing of highly illiquid assets, largely due to data constraints.In this study, we focus on municipal bonds, most of which are infrequently traded.The muni bond market is much less liquid than equity, derivatives, FX and Treasury markets. Illiquidity is always a great concern for muni bond investors.Though the liquidity level is low, it is unclear whether liquidity risk is priced and how big is the liquidity risk premium in the muni market
Zongying YE is an Associate Professor of Finance, National Chung HsingUniversity.He has received his doctoral degree in Finance in National Taiwan University .Hisprimary research interests focus on Liquidity risk and credit risk in stock and bond markets, Asset pricing anomalies, Investor sentiment, and Volatility/Jump risk premium.