We explore the link between liquidity and investment in a an overlapping generation model with a standard … this asynchronicity, resulting in credit rationing and a net demand for stores of value -- liquidity -- by the corporate … sector. At the heart of the model is a distinction between inside liquidity -- liquidity created within the private sector …

issues a continuum of finite-maturity bonds in the presence of liquidity frictions. We find that the solution can be …

Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …

portfolio holdings to be at a given point in time. The perceived liquidity of speculative grade and Rule 144A bonds is …We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross … significantly lower than investment grade bonds in the cross section and deteriorated significantly following the 2008-9 financial …

schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states … of nature, yielding an analogue of the Fundamental Theorem of Asset Pricing. State prices and price impact prove to be …

countercyclical. We also establish pricing patterns with respect to the relative prices in booms and recessions. If the marginal cost … intermediate range, numerical examples are calculated to show specific pricing patterns …