We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete set of traded prices … thereafter. Based on this analysis, we determine market-based recovery rates and quantify various liquidity measures. We study …

improvement in liquidity and trading activity. …

sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our … analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that … lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option …

on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit …We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … risk, using a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide …

We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants … (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and … institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity …

lesser extent, a measure of liquidity predict in-sample the payoffs of dynamically re-balanced carry trades, as evidenced by … carry trades and their currency components. We test the theoretical restrictions that an asset pricing model, with average …

beta is associated with low alpha, as we find empirically for US equities, 20 international equity markets, Treasury bonds …, corporate bonds, and futures. (2) A betting against beta (BAB) factor, which is long leveraged low-beta assets and short high … factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically …