We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is …

-mediation? We propose a measure of bond's mis-allocation among dealers and show its correlation with bond's liquidity risk which is … higher mis-allocation is associated with a higher magnitude of liquidity risk. A search-match model with dealers' endogenous …

In this paper, we present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the … adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on …

. The attractiveness of bonds as liquidity makes aggregate bond demand downward-sloping, so that greater bond supply raises … both the level and the slope of the yield curve. Moreover, time-variations in liquidation risk are shown to help explain …

turmoil. To achieve this, we examine the liquidity and crash risk of stocks that are likely held by Robinhood traders (i …. During the COVID-19 pandemic, we find that stocks likely held by retail investors have 17 percent higher liquidity and at … least 24 percent lower crash risk (with regard to the corresponding standard deviations). In addition, we document that this …

especially focusing on the liquidity component. We find that the deterioration of the financial health of bond investors widens … the liquidity spread of municipal bonds, and this relationship was stronger during the Lehman crisis. Using Hurricane … suffered losses due to the hurricane, experienced a larger increase in liquidity spreads in the quarter of Hurricane Sandy. We …