We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …

question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use … reserves and the response of the economy tends to be larger. In this case, agents expect to be liquidity constrained and, due …

assets to ensure that they will be able to keep investing when cash" flow is too low relative to planned investment and when …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

market innovations which cause a decrease in the transactions cost of lending and a decline in the cost of bankruptcy can …

adding these real world complications to the canonical problem can cause transactions costs to produce per-annum liquidity …, the impact of transaction costs on per-annum liquidity premia is an order of magnitude smaller than the cost rate itself …. A number of recent papers have formed portfolios sorted on liquidity measures and found a spread in expected per …

transactions occur at a discount to net asset value. Buyers average an annualized Public Market Equivalent (PME) of 1.023 compared … be related to factors associated with asymmetric information and market depth. Buyers in this market tend to be funds …