Gallien, Florent; Kassibrakis, Serge; Klimenko, Nataliya; … - 2018 - This version: July 15, 2018
construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …
