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 …

-term funding needs at the onset of the crisis by exploiting ex-ante variation in long-term debt structure. I also compute excess …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

impact of stressed outflows on liquidity and solvency positions. We find that large shocks worsen existing short …-term liquidity deficits. Moreover, the associated fall in book value of assets is more than the aggregate Common Equity Tier 1 …

The paper shows that issuing activity does not result in superior liquidity. Even the kinds of new issues that are … existing liquidity-based explanations of the new issues puzzle. The paper also shows that the low-minus-high turnover factor …

agents, including mutual funds, suffer from liquidity-related trading …

This paper analyses the role of liquidity in the price discovery process. Specifically, it focuses on the credit …

Research on electricity futures markets has to date not explored the role that market liquidity may play in determining … risk premia. Further, no detailed empirical examination of both liquidity and risk premia in the New Zealand electricity … find that liquidity has been gradually increasing and that a policy intervention to impose a maximum bid-offer spread was …

period 6/2008 to 9/2009, we show that funding-liquidity (shadow cost of capital for arbitrageurs) as well as asset specific … liquidity (determinants of margin requirements) explain recent deviations in the arbitrage based parity relationship between the … determinants of the basis, and suggests that it is important to distinguish between these two types of liquidity in determining the …