We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

) trading and liquidity. We find strong intraday variations in index CDS trading activities and liquidity. Unlike the U … findings improve our understanding of the trading costs and liquidity in the over-the-counter derivatives market …

Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

We model how ETFs compete and set fees. We show that ETF secondary market liquidity plays a key role in determining … fees and leads to liquidity clienteles. More liquid ETFs charge higher fees in equilibrium and attract shorter horizon … investors that are more sensitive to liquidity than to fees. The higher turnover of these investors sustains the ETF's high …

Presentation on the ambivalent role of liquidity in economic stability. A model of speculation, volatility dynamics and … liquidity is developed. A natural explanation of extreme randomness is offered. It is shown that news driven expectations imply …

We investigate both market volatility timing and market liquidity timing for the first time among UK mutual funds. We … volatility is higher than normal, systematic risk levels are lower. The evidence around market liquidity timing ability is … anticipation of reduced market liquidity. We also find a positive relation between liquidity timing ability and fund abnormal …

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in … test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced … yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our …