We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll's measure. The results show that expected bond liquidity and...

We investigate the optimal portfolio and consumption policies for a finite-horizon investor in a life-cycle model with habit formation and inflation risk. We consider two types of habit investors: one forms habit based on real past consumption, while the other on nominal past consumption, which...