Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on … liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals …

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …