Using a dynamic selection model, we obtain consistent and unbiased estimates of risk and returns for infrequently traded bonds and conduct the first comprehensive asset pricing test of municipal bonds using the multifactor approach. Correction for sample selection and infrequent trading problems results in substantially higher beta estimates. Besides conventional risk factors, illiquidity and taxes are important for the pricing of municipal bonds. Importantly, bond returns contain a significant liquidity risk premium. Failing to account for sample selection bias leads to erroneous inference on the magnitude of systematic risk and substantial underestimation of risk premiums. (JEL G12, G14)

中文翻译：

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不常交易证券的资产定价测试：以市政债券为例

使用动态选择模型，我们对不经常交易的债券的风险和收益进行了一致且无偏的估计，并使用多因素方法对市政债券进行了首次综合资产定价测试。对样本选择和不常见的交易问题的校正会导致更高的 beta 估计值。除了传统的风险因素外，流动性不足和税收对市政债券的定价也很重要。重要的是，债券回报包含显着的流动性风险溢价。未能考虑样本选择偏差会导致对系统风险大小的错误推断和对风险溢价的严重低估。(JEL G12, G14)