In this study, we investigate the relationship between liquidity changes and stock returns in the Japanese stock market …. The results confirm that stocks with increased liquidity have higher stock returns than those with decreased liquidity …. This phenomenon indicates that the market under-reacts to changes in liquidity. We also decompose liquidity and analyze how …

-adjusted losses after round-trip transaction costs for liquidity,risk-management, or tax-minimization reasons. Among these, evidence … for liquidity trading motiveis the strongest …

We study sovereign debt and default policies when credit and liquidity risk are jointly determined. To account for both … market for sovereign bonds. We quantify the effect of liquidity on sovereign spreads and welfare by performing quantitative …, we find (a) that a substantial portion of sovereign spreads is due to a liquidity premium, and (b) the liquidity premium …

liquidity risk stemming from search friction is significantly priced, and is strongly correlated with the misallocation of bond … bonds with higher levels of misallocation are associated with lower absolute levels of liquidity risk from search friction …

We study how regulation shapes the interaction between financial fragility and bank liquidity management and propose a … liquidity during runs. However, this choice is time inconsistent. Therefore, regulators need to force banks to commit to it …

This study measures liquidity in the catastrophe (CAT) bond market and the liquidity premium embedded in CAT bond … the three most effective liquidity proxies. Given these three proxies, the average estimated liquidity premium in the CAT … during the period 2002-2016. The average CAT bond liquidity premium is higher than the corporate bond liquidity premium of a …

This paper re-examines the liquidity effect on stock expected returns in the NYSE over the period 1926–2008, the pre … sample suggests that the systematic liquidity risk plays a significant role in the cross-sectional variation of stock …