The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

This paper proposes a positive theory of the links between banks' capitalisation and their liquidity risk taking, the … extent of fire-sale problems, and the severity of liquidity crises. In a basic framework with a single bank, we find that … banks' incentives to hold liquidity for precautionary reasons are increasing with their capital. In a continuum …

contraction in credit and to liquidity spirals. Subsequent measures by policymakers can be interpreted as attempts to avoid …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and … the liquidity provider under consideration …

We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT … market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within … evidence that the three types of commonality in liquidity are priced in REIT returns but only during bad market conditions. We …