of investor's rationality, are not enough to explain the stock performance during market stress and liquidity crunch … periods. In this paper, we created four measures of corporate liquidity risk factors and examined the dynamic impact of these … risk factors on stock returns, especially during market stress and liquidity crunch periods. We found out that corporate …

Market liquidity is informative of future corporate defaults but in a nuanced way. A firm's probability of default … increases with market illiquidity only when the firm's funding liquidity is tight and/or solvency position is weak. Such …

This paper provides a comprehensive economic evaluation of the short-horizon predictive ability of liquidity on monthly … empirical models based on different liquidity measures and find three key results: liquidity timing leads to tangible economic … liquidity measures to one that conditions on the Zeros measure (Lesmond, Ogden, and Trzcinka, 1999); the Zeros measure …