We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …

the mechanical relationship between return co-movement and liquidity, which can be quantified by a power law function and … explained by a liquidity supply model. Three well-documented asymmetries (asymmetric volume, asymmetry in non-market volatility …

flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the …-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar … aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book …