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 …

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …

measure as a measure of market risk. The lack of a liquidity parameter in methodologies used to compute VaR significantly … liquidity risk on market risk assessment, which is obtained by using VaR. The most frequently used technique for VaR estimation … results of this study indicate that the application of a liquidity constraint in the VaR model provides more accurate …

determinant of international stock market liquidity. Increased risk perception reduces liquidity around the world, and its impact … is not subsumed by other well-documented market-level determinants of liquidity. The effect is pervasive, but is stronger … phases of the business cycle, or the way liquidity is measured …

We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950 …-2013 period. We find that firms after foreign market listing exhibit lower liquidity sensitivity, lower liquidity beta, and suffer … more liquid markets. The liquidity enhancement is associated with firms' increased foreign ownership post-listing and is …

We study the effects of FX liquidity risk on carry trade returns using a low-frequency market-wide liquidity measure …. We show that a liquidity-based ranking of currency pairs can be used to construct a mimicking liquidity risk factor …, which helps in explaining the variation of carry trade returns across exchange rate regimes. In a liquidity-adjusted asset …

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a …