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 …

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 …

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 …

We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve … estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the … flows are covariances, as cash flows of coupon bonds fully explain the factor exposure. The term structure premium depends …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the … stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …