We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that … test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical … studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling …

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

In this paper, we develop a dynamic model of a limit order market populated with liquidity traders who have only … execution probabilities of limit orders as a function of traders’ liquidity demand and the state of the limit order book. We … find that the equilibrium percentage of market order submissions is also increasing in the dispersion in liquidity traders …

We analyse the impact of the introduction of the French Tobin tax on volumes, liquidity and volatility of affected …

This study presents empirical evidence of the effect of bank capital structure and liquidity on profitability using … stationarity and co- integration. We find a positive influence of cash reserve ratio, liquidity ratio and corporate income tax; and … system profits. We equally observe that liquidity ratio leads banks’ profits in Nigeria, closely followed by balances with …

stocks. The long-term price increase for added stocks can be attributed to increases in institutional ownership, liquidity … effect on analyst coverage and shadow cost, we find a rebound in the institutional ownership and liquidity of deleted stocks …

liquidity is self-fulfilling: A perception of future illiquidity creates current illiquidity. …

factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

default swap (CDS) credit spreads should track each other closely. In addition, liquidity risk should be priced into both … autoregression framework to establish the credit and liquidity spread interactions over the 2009–2010 crisis period. We find …, for several countries, including Greece, Ireland and Portugal the liquidity of the sovereign CDS market has a substantial …