effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises … marketplace such as a supermarket or a stock exchange with adequate liquidity. Further, people must have confidence that such a … well-functioning marketplace will also exist in the future. Market liquidity risk is the risk that the market will function …

We study the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the … period 1973-2007 in a regime switching model. In one regime, liquidity shocks have mostly insignificant effect on bond prices …-grade bonds rise while prices of speculative grade (junk) bonds fall substantially (relative to the market). Relating the …

We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period … 1973 - 2007 in a regime - switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices …-grade bonds rise while prices of speculative-grade (junk) bonds fall substantially (relative to the market). Relating the …

We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period … 1973–2007 in a regime-switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices …-grade bonds rise while prices of speculative-grade (junk) bonds fall substantially (relative to the market). Relating the …

This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from … unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security's required return … depends on its expected liquidity as well as on the covariances of its own return and liquidity with market return and market …