dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

liquidity. Bubbles can arise without the short-sales constraint. We show that the more frequently investors trade in the future …

This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces … a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta … performance spread of 4% in the cross-section of mutual funds over the period 1983-2014. Liquidity risk premia based on …

research. Recently, Lang and Maffett show that transparency reduces firm-level liquidity uncertainty, while Ng shows that …This paper highlights the different avenues through which stock liquidity can potentially transcend into accounting … increased information quality can reduce a firm's exposure to systematic liquidity risk. These studies respectively suggest that …

Employing a broad sample of US firms over the period 1962 to 2009, we provide evidence of a liquidity risk impact on … the fundamental earnings-returns relation. Specifically, we document that current liquidity risk has a positive moderating … that the liquidity risk effect on the earnings-returns relation is dominant in firms that: (a) are of intermediate size; (b …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

Employment growth (EG) is likely related to liquidity fundamentals of investment opportunities, firm health, and … information environment. This, in turn, implies that liquidity risk may play a role in explaining the relation between employment … growth and stock returns. We explain the link between employment growth and liquidity risk with a parsimonious model and find …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …