their bidask spreads. These contracts reduce the exposure to liquidity factors. Their prices provide a novel illiquidity …It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on … liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … market illiquidity by aggregating deviations of credit index levels from their no-arbitrage values implied by the index … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts …

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the … futures market, but rather interacts with price risk, liquidity risk, and the risk aversion of the market maker. The …

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory … of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market … but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions …

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …-integration of liquid assets and liabilities, to maintain a minimum short-term liquidity buffer. Still, microprudential regulation …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …