We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the … stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …

futures market, but rather interacts with price risk, liquidity risk, and the risk aversion of the market maker. The … liquidity link between spot and futures markets. Our results provide no evidence in favor of the substitution hypothesis. …

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial … metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities …. Liquidity commonality was present in 1997 - 2003 when commodity prices were relatively stable and during the recent boom. There …

This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … deeper investigation into high-frequency trading strategies finds that prior to the crisis, liquidity additions and …

In this paper, we present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the … adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on …

) trading and liquidity. We find strong intraday variations in index CDS trading activities and liquidity. Unlike the U … findings improve our understanding of the trading costs and liquidity in the over-the-counter derivatives market …

cost otherwise. I show that liquidity segmentation can explain the tendency for ETFs to trade at a premium to NAV as well … higher premiums and the liquidity benefits offered by foreign ETFs and fixed income ETFs are revealed to be the most valuable … to investors. Further tests validate that TESD has the desirable properties of a liquidity segmentation measure …

This paper analyses the role of liquidity in the price discovery process. Specifically, it focuses on the credit …