This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and … persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six … months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more …

This paper examines the relationship between liquidity and quality of financial information by analyzing long …. Overall, my results indicate a positive relationship between quality of financial information and liquidity …

categories of firm. Some of the changes in returns reflect changes in liquidity, while the remainder reflect adjustments to the …

, liquidity risk should be priced into both instruments in such a way that buying exposure to the same default risk is identically … priced. We use a time-varying vector autoregression framework to establish the credit and liquidity spreads interactions over … countries. Our major result is that for several countries including Greece, Portugal and Ireland the liquidity of the sovereign …

We investigate whether increasing the speed of order execution affects investor trading strategy and market liquidity …