This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

liquidity risk. After adjusting for liquidity risk, low beta stocks no longer outperform high beta stocks. Although investors … fails to generate any significant returns when liquidity risk is accounted for. Our work helps understand the beta premium … from a new liquidity-risk perspective, and draws useful implications for both fund and corporate managers …