, dispersion in beliefs, and funding liquidity. We argue that stock market illiquidity is a timely variable that is related to … "right-to-quality" episodes and might contain information about expected future business conditions through funding liquidity …

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …-integration of liquid assets and liabilities, to maintain a minimum short-term liquidity buffer. Still, microprudential regulation …

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

We examine whether the drastic improvement in liquidity in the US stockmarket after 2003 has impacted the systematic …-varying long bias in US-stockmarket exposure. The reversal of the relationship points towards liquidity timingby hedge funds in the …

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 …