Theoretical studies show that shocks to funding constraints should affect and be af-fected by market illiquidity. However, little is known about the empirical magnitude of such responses because of the intrinsic endogeneity of illiquidity shocks. This paper adopts an identification technique...

Theoretical studies show that shocks to funding constraints should affect and be affected by market illiquidity. However, little is known about the empirical magnitude of such responses because of the intrinsic endogeneity of illiquidity shocks. This paper adopts an identification technique...

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 studies the relationship between a country's risk of default and the illiquidity of bonds issued by the same country. Government bonds are traded in the secondary market on an inter-dealer electronic trading platform. Bond's illiquidity depends on both the country's fundamental and...