for 72 portfolios of international equities, corporate bonds, and currencies over the 1994 to 2013 period. The forecasting … liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

including global equities, global bonds, commodities, US Treasuries, credit, and options. This predictability rejects a …. Our global carry factor across markets delivers strong average returns and, while it is exposed to recession, liquidity …, and volatility risks, its performance presents a challenge to asset pricing models. …

. Lack of liquidity means that an asset cannot be immediately traded at any point in time. We find the portfolio share of … financial wealth invested in illiquid assets given the liquidity premium. Benchmark calibrations imply a portfolio share of 2 …

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they … predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions … uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …

identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were … investment-grade index itself. An asymmetric impact of favorable Fitch ratings on bonds around the HY-IG boundary whose index … bond pricing. Our results highlight the importance of rating-based industry norms and practices for market segmentation, in …

liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …

Dealers in over-the-counter securities form networks to mitigate search frictions. The audit trail for municipal bonds …, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs … a non-negativity constraint. Liquidity is increasing in arbitrageur wealth, while asset volatilities, correlations, and … expected returns are hump-shaped. Liquidity is a priced risk factor: assets that suffer the most when liquidity decreases, e …

, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …

liquidity cycles. Monitoring decisions by market-makers and market-takers are self-reinforcing, generating multiple equilibria … with differing liquidity levels and duration clustering. The trading rate is typically maximized when makers and takers are … make/take fees, the trading rate, the bid-ask spread, and the effects of algorithmic trading on liquidity and welfare. …