downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

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 …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High …