This study examines a market-wide liquidity measure based on the systematic deviations from Put-Call parity in the U.S. equity option markets. We show that this implied liquidity measure provides forward-looking information about market returns and significantly explains the cross-sectional...

This study examines the relationships between excess corporate cash holding and equity option market liquidity over the period from Jan 3, 2005 to Dec 31, 2019. We show that the level of cash reserve in excess of what can be captured by firm characteristics significantly explains the liquidity...

We find that equity option liquidity increases stock price crash risk. This effect is robust to different measures of option liquidity and crash risk, alternative weighting schemes, option moneyness, and is not spurious due to endogeneity issues. The option liquidity-stock crash risk causality...

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent...

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than credit risk regardless of market conditions. Moreover, in the period prior to the recent ‘Great...

We study the contribution of liquidity to time-series dynamics and cross-sectional variations of Euro area sovereign bond yield spreads. We consider a large sample period covering both the global financial crisis and the European sovereign crisis. Using intraday trade and quote data we construct...

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent...