We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when … considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U-shaped. Empirical tests using …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term … structure when considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or … U-shaped liquidity term structure from bid prices, and v) spill-overs of liquidity from short-term to long …

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 …

We model the interactions between the trading activities of a large investor, the stock price and the market liquidity …. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity … vary due to changes in liquidity. Features of our model are demonstrated using Monte Carlo simulation for different …