liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries …

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

block trades. The search model incorporates two aspects of illiquidity, or search frictions. First, upon a liquidity shock …, the incumbent blockholders may be forced to sell to a less efficient buyer. Second, a block liquidity sale may occur at a … result absent liquidity shocks. Our results help shed light into the size of the marketability discount, the control discount …

conditions, i.e. the varying liquidity value ofeligible assets and the associated risk. This induces a liquiditypremium, which …