This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

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

interpreted as evidence that hedge funds suffer from liquidity shock induced contagion. We provide novel tests that demonstrate … clustering in hedge fund left tail abnormal returns is positively related to negative liquidity shocks. These patterns have been … these patterns result from model misspecification and time-varying heteroskedasticity rather than liquidity shock induced …

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the … estate asset returns, and pro-cyclical liquidity variation in private real estate markets …

of 2000 and 2008, triggered by dotcom and housing market bubble bursts, can be explained as manifestations of market …