-way price theory (conic finance). Implied liquidity isolates and quantifies in a fundamental way liquidity risk in financial …In this paper the authors introduce the new concept of implied liquidity on the basis of the recent developed two … markets. It is shown on real market option data on the major US indices how liquidity dried up in the troubled year end of …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

. So far, little is known about factors influencing how much they invest in illiquid assets. We conjecture that liquidity … generate liquidity requirements, while regulations impose capital requirements. Consistent with our model we empirically find …