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 …

-market liquidity …

This paper studies the interaction between fundamental and liquidity for defaultable corporate bonds that are traded in … liquidity, which depends on both the firm fundamental and the time-to-maturity of the bond. Corporate default decisions interact … with the endogenous secondary market liquidity via the rollover channel. A default-liquidity loop arises: Earlier …

himself trapped and forced to remain in that position because of a lack of liquidity. What are the asset-pricing implications …

We provide a model that links an asset's market liquidity - i.e., the ease with which it is traded - and traders …' funding liquidity - i.e., the ease with which they can obtain funding. Traders provide market liquidity, and their ability to … are charged, depend on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and …