We study the effects of FX liquidity risk on carry trade returns using a low-frequency market-wide liquidity measure …. We show that a liquidity-based ranking of currency pairs can be used to construct a mimicking liquidity risk factor …, which helps in explaining the variation of carry trade returns across exchange rate regimes. In a liquidity-adjusted asset …

declines in market liquidity and lower returns than other stocks after the ARS market freeze. These effects are more pronounced …

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … higher funding costs. We also find that funding liquidity risk is compensated in the cross-section of expected returns …

Research on electricity futures markets has to date not explored the role that market liquidity may play in determining … risk premia. Further, no detailed empirical examination of both liquidity and risk premia in the New Zealand electricity … find that liquidity has been gradually increasing and that a policy intervention to impose a maximum bid-offer spread was …

This paper examines the effects of bond liquidity on firms' investments. We postulate that bond liquidity increases … variation in liquidity generated by the introduction of TRACE, we find that bond liquidity enables firms to expand capital … expenditures and acquisition activity. Furthermore, by enhancing access to funding, bond liquidity facilitates acquisition …

Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of …

measure that captures company distress levels more accurately. It is found that liquidity, proxied by a trading noise …-to-default measures. When our new liability and liquidity adjusted measure is used, a clearer picture of distress premium emerges. Our …

do not find evidence that liquidity risk and the probability of informed trade influence CoC. Overall, our results …