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 …

and contains almost all valid information on liquidity risk. As the credit level decreases, the explanatory power of …

liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion … investors, and hence, on equity risk premia and the liquidity premium. …

liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion … investors, and hence, on equity risk premia and the liquidity premium. Three, the effects of transaction costs on quantities … such as the liquidity premium are overestimated in partial equilibrium relative to general equilibrium. …