for 72 portfolios of international equities, corporate bonds, and currencies over the 1994 to 2013 period. The forecasting … liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

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 …

We build a model of investment and financing decisions to study the choice between bonds and bank loans in a firm … issue bonds. We also demonstrate that, by changing the cost of financing, these characteristics affect the timing of …

This paper compares supply and demand to assess to what extent there can be a market for GDP-linked bonds (GLBs). For …

variation in nominal yields, and vice versa. Second, although mean excess returns to nominal Treasury bonds are positive, these … returns do not appear to positively covary with risks that require compensation, at least according to standard asset-pricing …

low correlations are inconsistent with canonical intermediary asset pricing models. We show that at least two types of …

-taking capacity, but face a portfolio adjustment cost; liquidity traders have lower risk-taking capacity, but can trade freely. Our …-term investors requires liquidity traders to absorb the imbalance, who demand a higher risk premium that creates excessive bond price …