for 72 portfolios of international equities, corporate bonds, and currencies over the 1994 to 2013 period. The forecasting … liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

including global equities, global bonds, commodities, US Treasuries, credit, and options. This predictability rejects a …. Our global carry factor across markets delivers strong average returns and, while it is exposed to recession, liquidity …, and volatility risks, its performance presents a challenge to asset pricing models. …

We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which … has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in … what we term "liquidity pull-back," which involves selling financial assets either by banks directly or by levered …

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

We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the … prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the … liquidity. We find that the price a bank pays for liquidity depends on the liquidity positions of other banks, as well as its …

constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

This Paper studies equilibrium asset pricing with liquidity risk (the risk arising from unpredictable changes in … asset pricing model. Further, if a security's liquidity is persistent, a shock to its illiquidity results in low … liquidity over time). It is shown that the required return on a security depends on its expected illiquidity, the covariances of …

. Lack of liquidity means that an asset cannot be immediately traded at any point in time. We find the portfolio share of … financial wealth invested in illiquid assets given the liquidity premium. Benchmark calibrations imply a portfolio share of 2 …