findings suggest that machine learning methods provide more accurate models of stock returns based on risk factors than … standard regression-based methods of estimation. They also indicate that certain risk factors and combinations of risk factors …

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a … bonds. This paper thus provides estimates of the quantitative importance of liquidity risk as a determinant of the sovereign …

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … proposition that liquidity risk affects the price of sovereign debt. This period was the last time that the debt of a … bonds. This paper thus provides estimates of the quantitative importance of liquidity risk as a determinant of the sovereign …

A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity … liquidity measure based on weighted average bid-ask spread is established.Using this liquidity measure, an elementary liquidity … algebra is possible: from the estimation of the execution cost, the liquidity of a basket of instruments is obtained. A …

Liquidity problems lie at the heart of crises on financial markets as demonstrated in this paper by detailed …, provided emergency liquidity to limit the negative effects of such crises. However, the anecdotal and empirical evidence from … the three crises shows that such emergency liquidity assistance implies risks to goods price stability if it is not …