In today's markets where high frequency traders (HFTs) act as both liquidity providers and takers, I argue that … information asymmetry induced by liquidity-taking HFTs' use of machine-readable information is important. This particular type of … experiment of index inclusion, I show that liquidity-providing HFTs supply less liquidity to stocks that suffer more from this …

managers are risk averse, they might underinvest when firm-specific uncertainty increases, leading to suboptimal investment …High-powered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. If … decisions from the perspective of well-diversified shareholders. We empirically document that when idiosyncratic risk rises …

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method … volatilities results in significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn … relate to a set of underlying macro-finance state variables. We also find that the extracted volatility risk premium helps …

We investigate the empirical relationship between company investment and measures of uncertainty, controlling for the … effect of expected future profitability on current investment decisions. We consider three measures of uncertainty derived … for at least four consecutive years between 1982 and 1999. The results show that all three measures of uncertainty are …

We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty …") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices, and risk … premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model …

We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive … bank loans administered by U.S. regulators. We analyze the 2007-2009 financial crisis as a market-wide liquidity shock and …

with theory, our results confirm that firms use drawdowns to sustain investment after an idiosyncratic liquidity shock … already increased in 2007, precisely when disruptions in bank funding markets began to squeeze aggregate liquidity. Consistent …. Low aggregate liquidity amplifies this effect significantly. During the financial crisis, the effect of drawdowns on …

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the … borrow over a given horizon, thus increasing refinancing risk. We measure refinancing risk by quantifying the sensitivity of … frequency. Results suggest that refinancing risk affects the spread significantly across time, albeit in a largely varying …

We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive … bank loans administered by U.S. regulators. We analyze the 2007-2009 financial crisis as a market-wide liquidity shock and …