sum of two risks, deal risk and liquidity risk, as a measure of deal risk alone. We employ a forward looking measure of … liquidity risk – the VIX – and we show that arbitrageurs' ‘abnormal' returns are higher when liquidity risk is higher. Thus …, observed risk-arbitrage spreads compensate arbitrageurs for liquidity risk and deal failure risk. We conclude that the risk in …

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

We hypothesize that macro-level liquidity affects the choice between tender-mergers and mergers. We employ a novel … finds that the structural breaks coincide strikingly well with major changes in macro-level liquidity. Consistent with our … hypotheses our regression analysis finds that the number of tender offers increases with liquidity and also that the acquirer …

We study the transmission of liquidity shocks in a dynamic general equilibrium model where firms and households are … subject to liquidity risk. The provision of liquidity services is undertaken by financial intermediaries that allocate the … stock of liquid asset between the different sectors of the economy. We find that the macroeconomic effects of liquidity …

This paper presents a new approach to measure funding liquidity. The key idea is that, as borrowing constraints become … margins. Given the speculators' role in liquidity provision, the asset liquidity of large and small stocks would covary … liquidity is measured as the difference of rolling correlations of stock market returns with large and small stocks' asset …