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 … reflected in greater sensitivity to innovations in market liquidity. Second, small sovereign bonds, as measured by market value …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liq …

Across multiple measures of “liquidity” and a variety of methods to control for correlated characteristics of more … (less) liquid bonds, we find only limited evidence of a liquidity premium in the cross section of corporate bonds …