Söderlind, Paul; Somogyi, Fabricius - 2022
world. We show that even in this market exposure to liquidity risk commands a non-trivial risk premium of up to 3.6% per … annum. In particular, systematic and currency-specific liquidity risk are not subsumed by existing risk factors and … point, we decompose carry trade returns and show that the commonality with liquidity risk stems from periods of high market …