financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a …

We document that higher measures of liquidity risk on banks balance sheets are associated with lower expected stock … returns. We first calculate a measure of liquidity risk, referred to as the liquidity gap (LG), which reflects how much of a … augmented with bond risk, market liquidity, and financial-size factors -- do not fully explain the cross section of bank stock …

This paper provides a baseline model for regulatory analysis of systemic liquidity shocks. We show that banks may have … allocation is inferior from the investor's point of view since some banks free ride on the liquidity provision due to their … combination of liquidity regulation ex ante and lender of last resort policy ex post can maximize investor payoff. In contrast …