摘要：This paper investigates the presence of liquidity premia in the relative pricing of assets
traded on the Spanish government securities market. First, we propose a classification of
bonds into four different categories based on their degree of liquidity. Second, we estimate
liquidity premia, including liquidity parameters in the estimation of the zero-coupon yield
curve. The results suggest the existence of a liquidity premium for post-benchmark bonds
(both strippable and non-strippable). The size of this premium is relatively small. In the case
of pre-benchmark bonds, the lack of liquidity does not seem to be priced. We also show that
these pricing discrepancies are robust to the impact of taxes on bonds.
