This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in … test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced … yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our …

This study presents and empirically tests a simple framework that examines the effects of market liquidity (the ease … with which stocks are traded) and funding liquidity (the ease with which market participants can obtain funding) on stock … market bubbles. Three key findings emerge from this research. First, negative market and funding liquidity shocks increase …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures … basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …

This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset …-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which … funds and investors just break even, equilibrium liquidity premia are defined as the risk-adjusted excess returns that fund …

market risk, whereas the second term can be interpreted as a required compensation for a form of liquidity risk. This … required compensation for liquidity risk increases linearly with the covariance between the proportion invested illiquid in the …