The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size … premiums are associated with higher risk. The study then employs Auto-regressive distributed lag and Error Correction Modeling … to establish the long/short-run impact of financial distress and liquidity crisis on these premiums during recessionary …

do not find evidence that liquidity risk and the probability of informed trade influence CoC. Overall, our results …

investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium (ERP), the five factor …-related systematic risk, ii) the exposure to ESG-related systematic risk is significantly priced in the market, and iii) equity funds …

-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED … spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …

This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury … bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS … (nominal Treasury) excess returns. The explanatory power of the TIPS liquidity premium is statistically significant and …

, with an unspanned factor: liquidity risk. In the model, the liquidity factor is restricted to affect only the cross …-section of yields but it is allowed to determine the bond risk premia. This is motivated by the fact that bond excess returns can … be predicted by the TIPS liquidity premium, therefore liquidity can be considered as an unspanned factor that forecasts …