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 …

We study the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the … period 1973-2007 in a regime switching model. In one regime, liquidity shocks have mostly insignificant effect on bond prices … default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to …

This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … deeper investigation into high-frequency trading strategies finds that prior to the crisis, liquidity additions and …

An analytic study of liquidity limitations point out to option prices increase/decrease via volatility enhancements …

Option markets have significant variation in liquidity across different option series. Illiquidity reduces the … attached to illiquid options. We find that this liquidity weighted scheme outperforms conventional schemes such as the …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …