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 …

to proxy illiquidity. We show that transaction costs were low and comparable to today's costs. Liquidity was negatively … correlated with active informed trading, particularly being low for small and distressed stocks and in crises times. Liquidity …

This paper develops a present value framework that reflects expectations of future changes in liquidity and liquidity … premia. In our framework, a liquidity premium depends explicitly on prices, dividends, costs, and returns. We find that the … liquidity premium for the CRSP market portfolio is significantly priced over short horizons, but its long-horizon evidence is …

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in … test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced … yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our …