In over-the-counter markets, the presence of two frictions is central to determine prices, liquidity, and efficiency … specifications of delay, the set of traded assets and the dependence of asset prices and spreads on default risk, liquidity, and … offers a novel testable prediction: for assets within the same credit rating class, the liquidity is U-shaped in quality …

We provide the first empirical evidence of a non-linear relationship between funding liquidity and market liquidity (FL …-ML). The relationship depends on the state of business cycle, firm volatility, and the regulatory regime. Due to heightened …

This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The … approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement …