Dealers in over-the-counter securities form networks to mitigate search frictions. The audit trail for municipal bonds …, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …

instruments, corporate bonds, and commodity prices (with the exception of metals, including gold) face abnormal negative returns … controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of … volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates … of marginal pricing kernels of the market return and volatility conditional on the VIX. We find that the pricing kernel …

auctions the Fed tends to exclude bonds that are liquid and on special, but among included bonds, purchase volumes gravitate … toward more liquid bonds; (2) The auction costs are low on average: the Fed pays around 0.7 cents per $100 par value above … the secondary market ask price on auction dates; (3) The heterogeneity of Fed's costs across bonds relates to their …

This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with …