This paper empirically tests the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005) on a … global level. Consistent with the model, I find evidence that liquidity risks are priced independently of market risk in … international financial markets. That is, a security's required rate of return depends on the covariance of its own liquidity with …

established liquidity measures in 45 countries for the years 1990–2020. Our findings provide convincing evidence that liquidity … have negligible economic significance. Outside the microcap universe, virtually no liquidity effect can be observed …

Much recent commentary suggests that global liquidity has influenced financial conditions in the major international … markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere …. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth …