Market liquidity is complex to measure empirically. This explains why there is no consensus about performance ratios … adjusted to its risk. We summarize market liquidity by two major characteristics: a costly one because of the loss of … indicators are proposed to integrate, to a certain extent, market liquidity risk, especially for hedge funds investment …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … successfully price the cross-section of currency returns. However, we also find that liquidity and carry trade premia are …