This paper studies how market-wide credit risk affects the liquidity pricing in the bond market. With the emerging wave … increases the effectiveness of price discovery in China's capital market. As liquidity concern starts to play a nontrivial role …

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

to proxy illiquidity. We show that transaction costs were low and comparable to today's costs. Liquidity was negatively … correlated with active informed trading, particularly being low for small and distressed stocks and in crises times. Liquidity …

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 …

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. …

finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity … dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. …

The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The … values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …

This study shows that, to obtain a precise measure of the liquidity premium in the stock market, it is important to … recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively … correlated with stock illiquidity but negatively priced in the stock market, obscures the estimation of the liquidity premium …

This study shows that to obtain a precise measure of the liquidity premium in the stock market, it is important to … recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively … correlated with stock illiquidity but negatively priced in the stock market, obscures the estimation of the liquidity premium …

suffer from higher cost of capital. A one standard deviation increase in a stock's liquidity tail index leads to a rise of 30 … extreme liquidity risk and extends to alternative cost-percent liquidity proxies. We further find that this relation is …