downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

Until recently the liquidity of financial assets has typically been viewed as a second-order consideration. Liquidity … shocks could be easily diversified away. Yet the evidence- especially the recent liquidity crisis- suggests that liquidity is … now a primary concern. This paper aims at disentangling market risk and liquidity risk in the context of conditional …