, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary … liquidity crisis. On the other hand, size, value and investment premiums rise with financial distress/liquidity crisis, only …

This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury … bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS … (nominal Treasury) excess returns. The explanatory power of the TIPS liquidity premium is statistically significant and …

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

suffer from higher cost of capital. A one standard deviation increase in a stock's liquidity tail index leads to a rise of 30 … extreme liquidity risk and extends to alternative cost-percent liquidity proxies. We further find that this relation is …

This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that … expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity …. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle …