Favero, Carlo; Pagano, Marco; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
trend in yield differentials, which is correlated with the measure of tghe international risk factor. In contrast, liquidity … increase in both liquidity and risk, with an interaction term whosemagnitude and sign depends on the size of the liquidity … risk factor is consistently priced, while liquidity differentials are priced only for a subset of countries and their …