their bidask spreads. These contracts reduce the exposure to liquidity factors. Their prices provide a novel illiquidity …It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on … liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …