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

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

block trades. The search model incorporates two aspects of illiquidity, or search frictions. First, upon a liquidity shock …, the incumbent blockholders may be forced to sell to a less efficient buyer. Second, a block liquidity sale may occur at a … result absent liquidity shocks. Our results help shed light into the size of the marketability discount, the control discount …

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

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 …

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

, 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 …