How liquidity risk (beta) gets compensated is not well addressed so far. I hypothesize that liquidity risk (beta) get compensated asymmetrically. In this paper, I pay special attention to the crisis periods which experience large negative shocks on the market liquidity to study the nature of...

We propose a new framework for Asset-Liability Management of bank liquidity risk. We consider liquidity-risk diversification across asset and liability classes of US commercial banks and provide evidence of banks’ heterogeneous response to the Lehman crisis. Empirical results indicate that...