We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision … liquidity provision are amplified in smaller, more volatile, and less liquid cryptocurrency pairs where fear of adverse … highlight the role of inventory risk and adverse selection for liquidity provision. …

and thus negatively predicts cross-sectional bond returns. Controlling for ratings, alphas are lower for higher …-yield bonds while, controlling for yields, alphas are lower for higher-rated bonds. Future bond returns are particularly low when …

We examine term structure theories by using a novel approach. We form bond investment strategies based on different … indeed form the basis of a successful bond strategy that outperforms an unbiased expectation inspired passive bond buy and … if one uses information from the forward curve or the term structure as a guide to adjusting bond portfolios in response …

We develop a general equilibrium model of interest rates based on a continuous-time production economy populated by …-free rate, and the yield curve. In particular, the bond price decreases with the average belief and, in most situations, tends … belief dispersion also leads to higher bond volatility. In addition, the model nests the CIR model with time …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We …

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …