liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …, our model is structurally much simpler, while it also allows for correlation between liquidity and default premia, as …

construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the … analogue of the well-known Pastor-Stambaugh liquidity measure for the US stock market. We show that this measure has reasonable … properties, and that there is a strong common component in liquidity across currencies. Finally, we provide evidence that …

We use a novel dataset to examine the impact of exposing institutional orders to electronic liquidity providers (ELPs … liquidity fees on exchanges. This routing decision results in lower net effective spreads for these child orders, but leads to …

correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …

commonality in liquidity. We find that the introduction of MTFs following the Markets in Financial Instruments Directive increases … the comovement of stocks' liquidity with MTF liquidity, while the comovement with the home market liquidity generally …. Further, we find that the commonality in liquidity remains unchanged for a matched control sample of stocks that do not trade …