assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

accounting information has on the liquidity of its traded bonds. In particular, we focus on how this relationship depends on … aggregate liquidity and the financial state of the firm. We use an extensive panel data set comprising more than 40 … transparency on bond liquidity. This relationship becomes stronger during times of financial distress. We also find that the impact …