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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Chaplinsky S. Chen, L.
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Surveys and Invited Papers
Liquidity and stock returns: An alternative test. Kamara A. Liquidity, taxes, and short-term treasury yields. Krishnamurthi A.
Market Liquidity: Asset Pricing, Risk, and Crises | Stanford Graduate School of Business
Loderer C. Pastor L.
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Liquidity and Asset Prices
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- Liquidity and asset prices: An empirical investigation from the Nordic stock markets.
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Andrew Postlewaite. Arbitrageurs can take too much risk, not internalizing that their fire sales tighten margin constraints of other arbitrageurs. Noise traders slow down learning. Price differential liqudity premium decreases with relative supply of liquid asset. Risk-sharing between N large investors who experience continuous and privately-observed preference shocks occurs slowly even in the continuous-time limit.
Transaction costs can raise prices and can have weaker effects on more highly-traded assets. Fiscal consolidation accounted for half of the output drop, and the sudden stop for much of the rest. Slow price adjustment and NPL resolution account for the slow recovery. Effect operates through risk premia.
ESBies break the sovereign-bank loop, increase the amount of safe assets available to banks, and unlike Eurobonds preserve market discipline for sovereigns. How to measure illiquidity, how illiquidity relates to underlying market imperfections, and how it affects asset returns. Theories of Liquidity, Foundations and Trends in Finance, , 6, Relative to the Handbook survey above , there is no discussion of empirical work but the unified model is analyzed in greater depth.