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German Mittelstand Bonds: Yield Spreads and Liquidity

Utz, Sebastian ; Weber, Martina ; Wimmer, Maximilian


We estimate a cross-sectional model of the yield spreads of German Mittelstand bonds as a function of liquidity measures as well as a number of variables that control for both the characteristics of the issuing firm and the bond characteristics. Our results show a significant positive effect of illiquidity on the yield spread, which persists after controlling for the risk of the bond. ...


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