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Review of Finance, ISSN 1572-3097, 01/2013, Volume 17, Issue 1, pp. 107 - 160
We study the liquidity demand of large settlement banks in the UK and its effect on the money markets before and during the subprime crisis of 2007-08. We find... 
SYSTEMIC RISK | BUSINESS, FINANCE | ECONOMICS | ILLIQUIDITY | MODEL
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 08/2015, Volume 117, Issue 2, pp. 350 - 368
We examine the illiquidity premium in stock markets across 45 countries and present two findings. First, the average illiquidity return premium across... 
G12 | Illiquidity premium | G15 | International markets | F37 | Commonality in illiquidity premium | TESTS | PRICES | BIASES | CROSS-SECTION | BUSINESS, FINANCE | COSTS | INTEGRATION | EXPECTED STOCK RETURNS | EMERGING MARKETS | ECONOMICS | EFFICIENCY | LIQUIDITY RISK
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 05/2019
Journal Article
Journal of Econometrics, ISSN 0304-4076, 08/2019
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2018, p. 105281
We examine the relationship between stock extreme illiquidity and the implied cost of capital for firms from 45 countries. We document robust evidence that... 
Liquidity | Extreme illiquidity | Market conditions | Institutions | Cost of capital
Journal Article
Sustainability (Switzerland), ISSN 2071-1050, 05/2018, Volume 10, Issue 6, p. 1809
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2010, Volume 96, Issue 2, pp. 215 - 237
Microstructure noise in security prices biases the results of empirical asset pricing specifications, particularly when security-level explanatory variables... 
Return premium | Bias correction | Illiquidity | Microstructure noise | Asset pricing | G12 | G19 | PRICES | TRANSACTION COSTS | RISK | NOISE | CROSS-SECTION | BUSINESS, FINANCE | MODELS | EXPECTED STOCK RETURNS | EQUILIBRIUM | BID-ASK SPREAD | ECONOMICS | MARKET MICROSTRUCTURE | Microstructure noise Illiquidity Asset pricing Return premium Bias correction
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 10/2018, Volume 130, Issue 1, pp. 95 - 113
Focusing on downgrades as stress events that drive the selling of corporate bonds, we show that the illiquidity of stressed bonds has increased after the... 
Capital commitment | Dealer inventory | Regulation | Volcker Rule | Market making | Corporate bond illiquidity | LIQUIDITY | INFORMATION | RETURNS | BUSINESS, FINANCE | ECONOMICS | ILLIQUIDITY | INVESTMENT BANKS | Business schools | Corporate bonds | Credit market | Conferences and conventions
Journal Article
Management Science, ISSN 0025-1909, 05/2019
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 01/2016, Volume 62, pp. 62 - 75
We explore whether the market variance risk premium (VRP) can be predicted. We measure VRP by distinguishing the investment horizon from the variance swap's... 
Predictability | Variance swaps | Variance risk premium | Volatility trading | Funding illiquidity
Journal Article
Acta Universitatis Lodziensis. Folia Oeconomica, ISSN 0208-6018, 09/2019, Volume 4, Issue 343, pp. 137 - 157
In relation to assets, liquidity generally relates to the ease by which an asset can be sold immediately after purchase without incurring losses of any kind.... 
capital market | illiquidity premium | liquidity of shares
Journal Article
The Journal of Finance, ISSN 0022-1082, 10/2014, Volume 69, Issue 5, pp. 2237 - 2278
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 03/2012, Volume 103, Issue 3, pp. 471 - 492
We analyze liquidity components of corporate bond spreads during 2005–2009 using a new robust illiquidity measure. The spread contribution from illiquidity... 
Liquidity | Corporate bonds | Subprime crisis | Liquidity risk | CREDIT SPREADS | DETERMINANTS | RETURNS | RISK | YIELD SPREADS | BUSINESS, FINANCE | COSTS | TRANSPARENCY | ECONOMICS | ILLIQUIDITY | DEFAULT SWAP MARKET | MAKER | Securities offerings | Subprime loans | Analysis
Journal Article
Journal of Financial Markets, ISSN 1386-4181, 11/2018, Volume 41, pp. 1 - 16
We examine the return premium associated with a new measure of illiquidity that focuses on extreme points in the distribution of bid-ask spreads. Results show... 
Bid-ask spreads | Illiquidity premium | Liquidity risk | SKEWNESS | STOCK RETURNS | BUSINESS, FINANCE | EXPECTED RETURNS | NYSE | ILLIQUIDITY | TRADE EXECUTION COSTS | CROSS-SECTION | VOLATILITY | Analysis | Business schools
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2006, Volume 82, Issue 3, pp. 631 - 671
Using a new measure of liquidity, this paper documents a significant liquidity premium robust to the CAPM and the Fama–French three-factor model and shows that... 
Trading speed | Liquidity premium | Liquidity factor | BUSINESS, FINANCE | trading speed | liquidity factor | liquidity premium | RETURNS | VOLUME | ECONOMICS | ILLIQUIDITY | CROSS-SECTION | STOCK | CONSUMPTION | Capital assets pricing model | Analysis | Liquidity (Finance) | Pricing
Journal Article
Journal of Housing Economics, ISSN 1051-1377, 2010, Volume 19, Issue 2, pp. 109 - 118
Choosing the optimal holding period is an important part of real estate investment decisions, because “when to sell” affects “whether to buy”. This paper... 
Transaction cost | Illiquidity risk | Holding period for real estate | Illiquidity | MARKET | PRICE | URBAN STUDIES | INVESTMENT | RISK | ECONOMICS | MODEL | PORTFOLIO | Illiquidity Transaction cost Holding period for real estate Illiquidity risk | Valuation | Real property
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 7/2012, Volume 25, Issue 7, pp. 2005 - 2039
The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Using this approach,... 
Stock prices | Economic crises | Market prices | Expected returns | Liquidity | Order flow | Risk premiums | Funding liquidity | Liquidity risk | Financial portfolios | BUSINESS, FINANCE | COSTS | G12 | G01 | RISK | ECONOMICS | ILLIQUIDITY | MARKET-MAKER INVENTORIES | STOCK
Journal Article
Journal of Financial and Quantitative Analysis, ISSN 0022-1090, 12/2017, Volume 52, Issue 6, pp. 2491 - 2522
Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability... 
FIRE SALES | STOCK RETURNS | BUSINESS, FINANCE | LIQUIDITY | MARKET | PRICE | EQUILIBRIUM | ARBITRAGE | ECONOMICS | ILLIQUIDITY | CRASHES | LEVERAGE
Journal Article
Journal of Financial Stability, ISSN 1572-3089, 06/2019, Volume 42, pp. 136 - 142
This paper examines the commonality in liquidity measures in two stock markets at different stage of development, the Deutsche Börse and the Warsaw Stock... 
Liquidity | High-low spread | High-low range | VIX | Turnover | Amihud illiquidity | TRADING VOLUME | MODEL | SPREADS | STOCK RETURNS | BUSINESS, FINANCE | ECONOMICS | ILLIQUIDITY
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 1/2012, Volume 25, Issue 1, pp. 1 - 54
Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008: Q3-Q4, hedge funds sold about 29% of their aggregate... 
Investors | Economic crises | Mutual funds | Hedge funds | Stock sales | Equity | Asset management | Stock shares | Financial portfolios | Stock markets | EMPIRICAL-ANALYSIS | MANAGEMENT | PERFORMANCE | RETURNS | G01 | G12 | G23 | RISK | G14 | INCENTIVES | CROSS-SECTION | BUSINESS, FINANCE | BOND MARKET LIQUIDITY | ARBITRAGE | ECONOMICS | ILLIQUIDITY
Journal Article
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