The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting … differential treatment of same-country government bonds in the euro area. Combining difference-in-differences analysis with yield …

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …

within the framework of a dynamic general equilibrium asset-pricing model. Equilibrium bond portfolios are nonsensical …

We build a model of investment and financing decisions to study the choice between bonds and bank loans in a firm … issue bonds. We also demonstrate that, by changing the cost of financing, these characteristics affect the timing of …

largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation … effects in municipal bonds. Recent regulatory initiatives to improve transparency have made granular trade data available to … researchers, rendering it a natural laboratory to study financial intermediation, asset pricing in decentralized markets, and …