This Paper studies equilibrium asset pricing with liquidity risk (the risk arising from unpredictable changes in … liquidity over time). It is shown that the required return on a security depends on its expected illiquidity, the covariances of … its own return, illiquidity with market return, and market illiquidity. This gives rise to a liquidity-adjusted capital …

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 …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on …

uncertainty, as well as a proxy for liquidity premia can explain a large amount of the variation in these risk premia. …

' exposure to systemic liquidity crises (during which debt refinancing becomes specially expensive). Importantly, the terms of … efficiency or improving welfare by means of limits to debt maturity, Pigovian taxes, and liquidity insurance schemes. …

-sector bonds have become increasingly integrated. Issuers and investors alike have come to regard the euro area bond market as a … public ones, and by the greater liquidity of secondary markets. Bond yields have converged dramatically in the transition to … EMU. The persistence of small and variable yield differentials for sovereign debt under EMU indicates that euro area bonds …