himself trapped and forced to remain in that position because of a lack of liquidity. What are the asset-pricing implications …

liquidity. Bubbles can arise without the short-sales constraint. We show that the more frequently investors trade in the future …

We develop new liquidity measures for bond markets. Existing measures suffer from the combination of two effects. First … liquidity. We combine full-sample information for the size-cost relation with individual transaction data to eliminate such … liquidity level and liquidity risk in the cross-section of U.S. corporate bonds …

low liquidity stocks. Traditional Capital Asset Pricing Model (CAPM) is found to be valid as market factor is significant … significantly negatively related to equity market returns. It means that high liquidity stocks earn higher return in comparison to … power of conventional CAPM. These results are in line with the findings of Hwang and Lu (2007) for the UK market and Eun and …

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U ….S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond …