We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or …

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond … segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on … depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore …

characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to … safety episodes for 23 countries. On average, FTS episodes comprise less than 5% of the sample, and bond returns exceed …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We …

and posted liquidity. Our findings moreover suggest that large hidden orders are associated with larger transaction costs …, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the … market, hidden liquidity provision gives rise to negative liquidity externalities. …

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that … competing explanations of liquidity crisis. We find that fundamental factors matter for the liquidity outflow in normal times … load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …