We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts …

We study the effects of FX liquidity risk on carry trade returns using a low-frequency market-wide liquidity measure …. We show that a liquidity-based ranking of currency pairs can be used to construct a mimicking liquidity risk factor … explained by two risk factors (market and liquidity risk) in the FX market. Our results are further corroborated when the hedge …

declines in market liquidity and lower returns than other stocks after the ARS market freeze. These effects are more pronounced …

risk premia. Further, no detailed empirical examination of both liquidity and risk premia in the New Zealand electricity … significant time-varying premia which are driven by potentially inefficient behaviour. Finally, we find that liquidity risk does …Research on electricity futures markets has to date not explored the role that market liquidity may play in determining …

creditor structure in repo lending involves a fundamental tradeoff between risk sharing and inefficient 'rushing for the exits …

, spreads are negatively related to the part of cash holdings that is not determined by credit risk factors. Similarly, although … firms with higher cash reserves are less likely to default in the short term, endogenously determined liquidity may be …, suggesting that precautionary savings are central to understanding the effects of cash on credit risk …

risk map. The purpose of our study is to advocate two additional dimensions that incorporate liquidity and/or debt capacity … companies face the limited ability to self-resist risk outcomes, due to high debt capacity and high liquidity constraints. We … supports the conclusion that the level of liquidity and debt capacity constraints and thus the ability to retain risk outcomes …