world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … successfully price the cross-section of currency returns. However, we also find that liquidity and carry trade premia are …

We provide new international evidence for a monetary policy liquidity transmission channel in the United States, United … channel, we rely on a nonlinear and international economic set-up to distinguish between times of liquidity crisis and non …

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 …

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums …

We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management … the liquidity risk arising from the buying and selling of a position. With the use of BLM we show, how to integrate … liquidity risk into the VaR-framework. While our method has already been introduced, it has never been tested on the Hungarian …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

portfolio investments. The second implication concerns market liquidity spillovers across the three market. As these are ….e. liquidity. The Vector Auto Regression (VAR) analysis has been used to explore the existence of any intertemporal relationships … between market liquidity, returns and volatility among the three markets. The VAR analysis indicates that illiquidity of those …