This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the period from January 1994 to March 2009. The average return on bonds with high sensitivities to aggregate liquidity exceeds that for bonds with low sensitivities by about 4% annually. The positive relation between expected corporate bond returns and liquidity beta is robust to the effects of default ...

This paper proposes a new non-parametric method for estimating model-free, time-varying liquidity betas which builds on realized covariance and volatility theory. Working under a liquidityadjusted CAPM framework we provide evidence that liquidity risk is a factor priced in the Greek stock market, mainly arising from the covariation of individual liquidity with local market liquidity, however, t...

The paper develops a model to study the optimal choice of the central bank haircut policy. In the presence of uncertainties regrading liquidity needs and asset prices, there is a trade-off between providing liquidity to constrained agents and controlling the abundance of liquidity in the economy. The choice of the haircut involves balancing impacts on the liquidity positions of agents with diff...

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on op...

the aim of this research is study about influence of companies financial factors on volume of them shares traded in tehran stock exchange and classification of these financial factors on the basis of their effect on volume of shares traded. first, the relation of each above financial factors and “rial amount of trading volume” has studied separately. so it is used of correlation coefficient and...

This paper examines the relation between liquidity demands of corporate sector and investment decisions. It shows that the liquidity asset holding has two impacts on investments. First, the liquidity can absorb a liquidity shock and helps to continue a necessary project. Second, it helps to continue an undesirable project and decreases the incentive of firms. This negative aspect is quite simil...

 The excess liquidity of the open economy has become one main factor influencing the monetary markets, financial markets and even the whole macroeconomic. In era of the post-crisis, many countries have implemented the loose monetary policies, especially the quantitative easing policy in the U.S. which worsened the situation of the excess liquidity. Under this background, it will be more meaning...