basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

overcome the highlighted liquidity issues, we propose first to test the generaliza- tion of Gray and Whaley (1999) reset option … positive effect on the PXA liquidity. …

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …

lesser extent, a measure of liquidity predict in-sample the payoffs of dynamically re-balanced carry trades, as evidenced by …

variation in the data, resulting in a 20.04 bps root mean square error (RMSE). The second component corresponds to a liquidity … sheds light on CDS pricing and provides support for the most recent findings that liquidity risk is priced in CDS spreads. …

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial … metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities …. Liquidity commonality was present in 1997–2003 when commodity prices were relatively stable and during the recent boom. There is …

adverse shocks to speculator funding liquidity as determinant of synchronized price drops across energy markets. The …