We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

sum of two risks, deal risk and liquidity risk, as a measure of deal risk alone. We employ a forward looking measure of … liquidity risk – the VIX – and we show that arbitrageurs' ‘abnormal' returns are higher when liquidity risk is higher. Thus …, observed risk-arbitrage spreads compensate arbitrageurs for liquidity risk and deal failure risk. We conclude that the risk in …

We hypothesize that macro-level liquidity affects the choice between tender-mergers and mergers. We employ a novel … finds that the structural breaks coincide strikingly well with major changes in macro-level liquidity. Consistent with our … hypotheses our regression analysis finds that the number of tender offers increases with liquidity and also that the acquirer …

We study the transmission of liquidity shocks in a dynamic general equilibrium model where firms and households are … subject to liquidity risk. The provision of liquidity services is undertaken by financial intermediaries that allocate the … stock of liquid asset between the different sectors of the economy. We find that the macroeconomic effects of liquidity …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …