, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

: the probability of a liquidity crisis leading to a binding investment-finance constraint falls with a strong protection of … across countries with lower average stock market volatility, crises are more frequent in countries with poor creditor …

equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the …We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have … a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading …

where demand shifts stochastically between three different states, each with different rates of drift and volatility. In our …