flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the … aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book …-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar …

We derive closed form expressions for equilibrium asset prices and liquidity in an economy populated by a finite number … prices. Market liquidity is non-monotonic in funding liquidity and may decrease in the number of investors. In the presence … of liquidity shortage, price impact becomes negative and gives rise to an illiquidity premium in asset prices …

Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …

. Tractability of the model allows us to derive natural proxies for important measures of market liquidity such as trade volume … alleviation of search frictions in one market may lead to opposite observations regarding liquidity in other markets depending on … which liquidity measure is used. For example, a reduction of search frictions in one market decreases trade volume in other …

, consistent with theoretical models in which binding capital constraints lead to liquidity dry-ups, an overnight decline in the …. Moreover, I show that market liquidity of volatile stocks further deteriorates following an overnight market decline, which …

schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a … liquidity provision to force traders to trade at a lower price. By contrast, bonus caps make traders value the asset less than … investors. This should encourage liquidity provision and decrease prices. In contrast to these predictions, we find that under …

We examine portfolio trading and its impact on corporate bond liquidity. Our theoretical framework identifies how … trading is generally beneficial to bond market liquidity, particularly so for riskier and illiquid bonds. However, we also … show that these positive benefits do not always arise, and that it becomes a costly solution for liquidity provision when …

-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 …