{"id":"https://openalex.org/W3124429596","doi":null,"title":"BOND RETURNS, LIQUIDITY, AND MISSING DATA","display_name":"BOND RETURNS, LIQUIDITY, AND MISSING DATA","publication_year":1989,"publication_date":"1989-01-01","ids":{"openalex":"https://openalex.org/W3124429596","mag":"3124429596"},"language":"en","primary_location":{"id":"mag:3124429596","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:fth:colubu:fb-_89-01","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},"volume":null,"type":"preprint","indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5017231076","display_name":"Arthur Warga","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Arthur Warga","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5017231076"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":186,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9477999806404114,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9477999806404114,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.026499999687075615,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.005900000222027302,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/treasury-bonds","display_name":"Treasury bonds","score":0.6480000019073486},{"id":"https://openalex.org/keywords/treasury-notes","display_name":"Treasury notes","score":0.6620000004768372},{"id":"https://openalex.org/keywords/holding-period-returns","display_name":"holding period returns","score":0.8169999718666077},{"id":"https://openalex.org/keywords/liquidity-premium","display_name":"liquidity premium","score":0.8399999737739563},{"id":"https://openalex.org/keywords/missing-data","display_name":"missing data","score":0.8669999837875366},{"id":"https://openalex.org/keywords/maximum-likelihood-estimation","display_name":"maximum likelihood estimation","score":0.8410000205039978},{"id":"https://openalex.org/keywords/return-distribution","display_name":"return distribution","score":0.4880000054836273},{"id":"https://openalex.org/keywords/treasury-auctions","display_name":"Treasury auctions","score":0.4009999930858612}],"concepts":[{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.884437620639801},{"id":"https://openalex.org/C2780889827","wikidata":"https://www.wikidata.org/wiki/Q10756188","display_name":"Treasury","level":2,"score":0.7403863072395325},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6541207432746887},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.650597095489502},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.6213356256484985},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5558376312255859},{"id":"https://openalex.org/C9357733","wikidata":"https://www.wikidata.org/wiki/Q6878417","display_name":"Missing data","level":2,"score":0.5267086625099182},{"id":"https://openalex.org/C112758219","wikidata":"https://www.wikidata.org/wiki/Q16038819","display_name":"Duration (music)","level":2,"score":0.45561206340789795},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.44818735122680664},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.4363640248775482},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.4227878451347351},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4109446406364441},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.29183098673820496},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.22215256094932556},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.20830503106117249},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19059261679649353},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1260647177696228},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.104746013879776},{"id":"https://openalex.org/C142362112","wikidata":"https://www.wikidata.org/wiki/Q735","display_name":"Art","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C124952713","wikidata":"https://www.wikidata.org/wiki/Q8242","display_name":"Literature","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"mag:3124429596","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:fth:colubu:fb-_89-01","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:cup:jfinqa:v:27:y:1992:i:04:p:605-617_00","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0022109000008280/type/journal_article","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2192342225","https://openalex.org/W4416288068","https://openalex.org/W2253768203","https://openalex.org/W1880529637","https://openalex.org/W3084754032","https://openalex.org/W3125868889","https://openalex.org/W2432445594","https://openalex.org/W7098767822","https://openalex.org/W2056241938","https://openalex.org/W2911469207"],"abstract_inverted_index":{"This":[0],"paper":[1],"examines":[2],"holding":[3],"period":[4],"returns":[5],"to":[6,113],"constant":[7,30],"duration":[8,31,65],"portfolios":[9,32],"of":[10,55,86,117],"U.S.":[11],"Government":[12],"notes":[13],"and":[14,16],"bonds,":[15],"measures":[17],"the":[18,44,56,68,81,101],"return":[19,87,114],"premium":[20,116],"generated":[21],"by":[22,62],"liquidity":[23],"differences":[24],"in":[25,34,43,67,73,80],"bonds.":[26,53],"The":[27],"approach":[28],"compares":[29],"constructed":[33],"two":[35],"distinct":[36],"ways:":[37],"one":[38,49],"using":[39,50],"only":[40],"bonds":[41,110],"issued":[42,109],"most":[45],"recent":[46],"Treasury":[47],"auction,":[48],"all":[51],"other":[52],"Comparisons":[54],"resulting":[57],"series":[58],"are":[59,89,111],"made":[60],"meaningful":[61],"choosing":[63],"narrow":[64],"ranges":[66],"portfolio":[69],"formation":[70],"procedure.":[71],"This,":[72],"turn,":[74],"induces":[75],"a":[76,93,115],"missing":[77,102],"data":[78],"problem":[79],"created":[82],"time":[83],"series.":[84],"Parameters":[85],"distributions":[88],"therefore":[90],"estimated":[91,106],"employing":[92],"maximum":[94],"likelihood":[95],"framework":[96],"that":[97,107],"explicitly":[98],"accounts":[99],"for":[100],"data.":[103],"It":[104],"is":[105],"recently":[108],"priced":[112],"around":[118],"55":[119],"basis":[120],"points":[121],"per":[122],"annum":[123],"over":[124],"otherwise":[125],"equivalent":[126],"instruments.":[127]},"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":8},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":8},{"year":2016,"cited_by_count":9},{"year":2015,"cited_by_count":8},{"year":2014,"cited_by_count":9},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":9}],"updated_date":"2026-10-29T09:56:32.521200","created_date":"2021-02-01T00:00:00"}
