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 …

, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential … pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible … segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important …