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

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 …

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

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 …

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