This paper presents a new approach to measure funding liquidity. The key idea is that, as borrowing constraints become more binding, speculators first withdraw from small stocks and then from large stocks since large stocks require lower margins. Given the speculators' role in liquidity...

This paper finds that short-maturity Treasury-bill yields have unique information about risk premiums that is not spanned by long-maturity Treasury-bond yields. I estimate two components of risk premiums: one is for long-term and the other is for short-term. The long-term component steepens the...