This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …

This paper studies how over-the-counter (OTC) market liquidity was adversely affected by the collapse of securities … on corporate bond market liquidity. We show that the collapse of AIG's securities lending programs in 2008 caused a … substantial and long-lasting reduction in the market liquidity of the corporate bonds that were predominantly held by AIG, even …

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …

counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …

the collateral agreements. We also demonstrate whether our pricing approach is consistent with an another equilibrium …

Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically … bonds declined, and secondary credit markets became highly illiquid. In this paper we analyze liquidity in bond markets … during financial crises and compare two main theories of liquidity in markets: (1) asymmetric information and adverse …

--e.g., secured debt and the underlying collateral. Incentives to provide liquidity in one market are increasing in counterparties … ones, illiquidity spirals can be so severe that liquidity vanishes discontinuously as we vary the shock. Liquidity can be …

anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity … prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to …. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on …