to proxy illiquidity. We show that transaction costs were low and comparable to today's costs. Liquidity was negatively … correlated with active informed trading, particularly being low for small and distressed stocks and in crises times. Liquidity …

have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical …

This paper develops a present value framework that reflects expectations of future changes in liquidity and liquidity … premia. In our framework, a liquidity premium depends explicitly on prices, dividends, costs, and returns. We find that the … liquidity premium for the CRSP market portfolio is significantly priced over short horizons, but its long-horizon evidence is …

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …