Is greater trading liquidity good or bad for corporate governance? We address this question both theoretically and … information concerns her own plans for taking an active role in governance. We show that an increase in the liquidity of the firm …'s stock increases the likelihood of the large investor 'taking the Wall Street walk.' Thus, higher liquidity is harmful for …

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 …

amplification of equity losses due to funding costs which arise from liquidity needs …. 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 …

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 …

its stocks. Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a … stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate … bond market. The Monte Carlo simulation technique is used to quantify the impact on the liquidity premium of various …