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

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

This discussion paper resulted in a publication in the 'Journal of Banking and Finance' (2013). Vol. 37, issue 12 …, 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 …

Using a New-Keynesian framework, we investigate how far the inflationary processes in member states of EMU cause …

effect on intra-EMU trade. Existing studies examine this suspicion indirectly using non-EMU data and report ambiguous results …. We estimate the euro-effect directly from data that include EMU observations. Using a dynamic panel model for annual …