increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …

question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use … reserves and the response of the economy tends to be larger. In this case, agents expect to be liquidity constrained and, due …

overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

We exploit direct model-free measures of daily equity return volatility and correlation obtained from high …, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional … portfolio diversification when the market is most volatile. Our findings are broadly consistent with a latent volatility fact or …

volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process … itself. Returns and volume data argue, in the context of our model, that persistent volatility is caused by traders … autocorrelation in volatility and volume on the time scale of the trading process which generates returns and volume data. Positive …