conditions, i.e. the varying liquidity value ofeligible assets and the associated risk. This induces a liquiditypremium, which …

also increases information asymmetry and reduces stock liquidity. It also intensifies the price impact and liquidity crunch …

surprises, which suggests that private information does not hinder CDS liquidity. …

, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation … strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value … of the out-of-sample power of empirical models based on different liquidity measures and find three key results …