We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …

projects with positive but small net present value, firms may be forced to default in the first phase. We call this liquidity …

We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document … distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in … the average liquidity of Treasury securities and a decrease in uncertainty about the liquidity of investment …

Liquidity is a risk factor of primary relevance that can significantly affect the asset allocation decisions of … liquidity, intended as the cost needed to liquidate the portfolio. Within this framework, the traditional minimum variance … liquidity over the standard minimum variance solution. Meanwhile, the increase in portfolio risk is limited, generating large …

We explore theoretically and empirically the relationship between firm productivity and liquidity management in the …

The paper studies relevance of the cross-sided externality between liquidity makers and takers from the two …-sided market perspective. We use exogenous changes in the make/take fee structure, minimum tick-size and technology for liquidity … suppliers and demanders, as experiments to identify cross-sided complementarities between liquidity suppliers and demanders in …

We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and … consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside … liquidity). The question we address is, what determines the mix of inside and outside liquidity in equilibrium? An important …

Banks can fail either because they are insolvent or because an aggregate shortage of liquidity can render them … insolvent. We show that bank failures can themselves cause liquidity shortages. The failure of some banks can then lead to a … links between banks but because bank failure could lead to a contraction in the common pool of liquidity. There is a …

Both investors and borrowers are concerned about liquidity. Investors desire liquidity because they are uncertain about … when they will want to eliminate their holding of a financial asset. Borrowers are concerned about liquidity because they … compensation for the illiquidity investors will be subject to. We argue that banks can resolve these liquidity problems that arise …

Banks are unique among financial institutions because they are the cheapest source of liquidity in the economy. Banks … liquidity. Since the cost of reserves falls on all issuers of less liquid liabilities seeking access to payment services …