We provide new international evidence for a monetary policy liquidity transmission channel in the United States, United … channel, we rely on a nonlinear and international economic set-up to distinguish between times of liquidity crisis and non …

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 …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

as an indicator of the liquidity management adequacy in the banking system. I also suggest an extreme value theory … liquidity constraints that are currently ignored by RAROC and EVA models. While the economic profit accounts for the opportunity … cost of risky assets, what may even incorporate a market liquidity premium, it neglects the risk of failure due to the lack …

This study examines the Pastor-Stambaugh liquidity-augmented four-factor model to revisit whether the marketwide … liquidity is indeed a state variable important for asset pricing in the U.S. equity market over the period 1/1966-12/1999. The …-wise cross-sectional R-squared test, and finds the liquidity factor is not priced and the model does not outperform the Fama …