the results in Pástor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find … similar estimates of the liquidity risk premium. In the sample period after our study, the liquidity risk premium estimates … are even larger, and the liquidity measure displays sharp drops during the 2008 financial crisis. We respond to both …

. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …

Financial assets provide return and liquidity services to their holders. However, during severe financial crises many … asset prices plummet, destroying their liquidity provision function at the worst possible time. In this paper we present a … not control or understand. The liquidity of the market quickly vanishes and a financial crisis ensues. The model exhibits …

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting … to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion … of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future …

This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that … expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity …. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle …