. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total …This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn … that the connectedness is 23.49%, indicating a low level of connection between Bitcoin and the commodity volatilities …

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

This study examines the Pastor-Stambaugh liquidity-augmented four-factor model to revisit whether the marketwide … liquidity is indeed a state variable important for asset pricing in the U.S. equity market over the period 1/1966-12/1999. The …-wise cross-sectional R-squared test, and finds the liquidity factor is not priced and the model does not outperform the Fama …