in the course of this investigation are the following:•non-optimal capital structure formation•ineffective liquidity … warning of bankruptcy ahead of others are financial instability and liquidity ratios …

liquidity. The analytical results are derived for linear market impact. As in the case of infinite liquidity (Schmidt, 2003 …

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 …

in the course of this investigation are the following: non-optimal capital structure formation, ineffective liquidity … warning of bankruptcy ahead of others are financial instability and liquidity ratios …

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 …

impact of stressed outflows on liquidity and solvency positions. We find that large shocks worsen existing short …-term liquidity deficits. Moreover, the associated fall in book value of assets is more than the aggregate Common Equity Tier 1 …

lower market and funding liquidity and higher investors' risk-aversion are important drivers of the increase in the spread …This paper examines the effects of liquidity during the 2007-09 crisis, focussing on the senior tranche of the CDX …-capital, and liquidity preference exhibited by investors. Using cointegration analysis, the paper shows that during the crisis …

improvement in liquidity and trading activity …