, with an unspanned factor: liquidity risk. In the model, the liquidity factor is restricted to affect only the cross … be predicted by the TIPS liquidity premium, therefore liquidity can be considered as an unspanned factor that forecasts … bond returns but does not span the yield curve. I present empirical evidence suggesting that the liquidity factor does not …

We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We … liquidity proxy “VoV(%Spread)” for percent spread cost and a new volatility over volume liquidity proxy “VoV(λ)” for the slope … of the transaction cost function “λ”. We test the monthly and daily versions of these new and existing liquidity proxies …