average future returns. We show that there is a large overlap between stocks classified as high default risk, and those that … are highly correlated, with over 50% of firms in the top distress risk quintile also in the top quintile of predicted … that the low returns to high distress risk firms are large and significant in ‘speculative' firms (with high sales growth …

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond … evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple …

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond … evidence that exposure to corporate bond liquidity shocks carries an economically negligible risk premium. We develop a simple …

Market liquidity is informative of future corporate defaults but in a nuanced way. A firm's probability of default … increases with market illiquidity only when the firm's funding liquidity is tight and/or solvency position is weak. Such …

This paper quantifies the premium demanded by the investors for bearing the corporate default risk. We propose a novel … restrictions provided by a structural model of credit risk. By pinning down the daily dynamics of the market value of debt, we … deliver daily estimates of the full term structure of the default risk premium for worldwide non-financial firms. We show that …

positive link between aggregate riskiness and market risk premium remains intact after controlling for the S&P500 index option … characterized by high aggregate risk aversion and high expected returns …

-varying riskiness and expected market returns. The significantly positive link between aggregate riskiness and market risk premium … showing that aggregate riskiness is higher during economic downturns characterized by high aggregate risk aversion and high …

(2003) or Sadka (2006) are insufficient to explain the returns of composite liquidity sorted portfolios, a liquidity risk …Liquidity is a multidimensional concept with most liquidity measures proxying for only one of the many facets. Using … nine low-frequency liquidity proxies, this study calculates composite liquidity measures by extracting the commonality …