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 conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT … market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within … evidence that the three types of commonality in liquidity are priced in REIT returns but only during bad market conditions. We …

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …

. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a … liquidity constraints is not straight- forward, since the presence of a liquidity policy leads to externalities. We argue that …