• 1. Introduction
  • 1.1. Related Literature
  • 2. Liquidity Measures
  • 2.1. Return Reversal
  • 2.2. Estimation
  • 2.3. Alternative Measures of Liquidity
  • 3. Liquidity in Foreign Exchange Markets
  • 3.1. The Data Set
  • 3.2. Foreign Exchange Liquidity
  • 4. Commonality in Foreign Exchange Liquidity
  • 4.1. Averaging Liquidity Across Currencies
  • 4.2. Latent Liquidity
  • 4.3. Relation to Liquidity of the US Equity Market
  • 5. Liquidity Risk Premiums
  • 5.1. Monthly data
  • 5.2. Risk Factors for Foreign Exchange Returns
  • 5.3. Cross-sectional Asset Pricing and Market Prices of Risk
  • 6. Robustness Analysis
  • 6.1. Robustness of the Return Reversal Liquidity Measure
  • 6.2. Robustness of Commonality in FX Liquidity
  • 6.3. Robustness of Liquidity Risk Premiums
  • 7. Conclusion
  • References