- 1. Introduction
- 1.1. Related Literature
- 2. Liquidity Measures
- 2.1. Return Reversal
- 2.2. Estimation
- 2.3. Alternative Measures of Liquidity
- 3. Liquidity in Foreign Exchange Markets
- 3.1. The Data Set
- 3.2. Foreign Exchange Liquidity
- 4. Commonality in Foreign Exchange Liquidity
- 4.1. Averaging Liquidity Across Currencies
- 4.2. Latent Liquidity
- 4.3. Relation to Liquidity of the US Equity Market
- 5. Liquidity Risk Premiums
- 5.1. Monthly data
- 5.2. Risk Factors for Foreign Exchange Returns
- 5.3. Cross-sectional Asset Pricing and Market Prices of Risk
- 6. Robustness Analysis
- 6.1. Robustness of the Return Reversal Liquidity Measure
- 6.2. Robustness of Commonality in FX Liquidity
- 6.3. Robustness of Liquidity Risk Premiums
- 7. Conclusion
- References
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