While empirical literature has documented a negative relation between default risk and stock returns, theory suggests …. In accordance with theory, we find that the systematic part, measured as the PD sensitivity to aggregate default risk, is …

This paper reviews research on the effects of different measures of liquidity on asset prices. The foundation is the … pricing of liquidity as an asset characteristic that began with the theoretical model and empirical evidence of Amihud and … rise to research on the effect of liquidity-related systematic risk. Two types of such risk are shown to be priced …