the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials … differentials should increase in both liquidity and risk, with an interaction term of the opposite sign. Testing these predictions … on daily data, we find that the aggregate risk factor is consistently priced, liquidity differentials are priced for a …

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …

, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

of stock prices as predictors of future dividends. This paper analyses the relationship between market size and risk as …

We study how competition in the mutual fund industry affects stock market liquidity. We argue that mutual fund families … number of funds. The presence of more and relatively less-informed funds impacts the market, increasing stock liquidity. This … informativeness (i.e., fees, size and performance of the funds and number of funds per family), to explain stock market liquidity. We …

the introduction of tick size decimalization in 2001 as a natural experiment where liquidity was exogenously shocked. We … also find evidence of two-way causality; a higher level of stock liquidity leads to more cash holdings, and vice versa. …

a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market … actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market … portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk …