We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when … considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U-shaped. Empirical tests using …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term … structure when considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or … U-shaped liquidity term structure from bid prices, and v) spill-overs of liquidity from short-term to long …

We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that … the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a … stochastic volatility model in which the volatility is partly correlated with the liquidity process and show that, with the use …

Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of …