We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term …

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 …

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 …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

The equity term structure is downward sloping at long maturities. I show, through an ICAPM estimation, that the … equity term structure cyclicality and the upward sloping bond term structure …

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real … economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability … levered investments in bonds can improve short-run bond return predictability …

), two-stage least squares (2SLS), and generalized method of moment (GMM) estimators. Using both stock and bond data, our …

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. -- Hidden Liquidity ; Pretrade …

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 …