We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital … market equilibrium with binding portfolio restrictions, investors with different risk aversion levels generally hold …-sectional relation between average return and estimated market beta. We estimate that the market risk premium is at least five to six …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is …

-to-market values. The AP’s costs of handling creations/redemptions are paid by liquidity-demanding ETF investors via premiums …

-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund … collective "dash for cash" by consumers and firms in need of liquidity at the outset of the COVID-19 pandemic was not the source …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of …), and can easily incur a simultaneous repo run and arbitrage crashes, where liquidity in several markets dry up altogether …

-mediation? We propose a measure of bond's mis-allocation among dealers and show its correlation with bond's liquidity risk which is … higher mis-allocation is associated with a higher magnitude of liquidity risk. A search-match model with dealers' endogenous …