Liquidity Risk
From FinMath
- Excess Volatility of Corporate Bonds
- Liquidating Illiquid Collateral (Job Market Paper)
- Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks
- Asset Liquidity, Debt Valuation and Credit Risk
- Liquidity Risk Premia in Corporate Bond Markets
- Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
- Liquidity Risk in the Corporate Bond Markets
- Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
- A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
- Demand Discovery and Asset Pricing
- Asset Pricing with Liquidity Risk
- Liquidity, Default, Taxes and Yields on Municipal Bonds
- Liquidity and Credit Risk
- Multi-period Corporate Short-term Credit Risk Assessment: A state-dependent stochastic liquidity balance model
- Comparing Possible Proxies of Corporate Bond Liquidity
- A Solvency Based Multi-period Corporate Short-term Credit Risk Model
- Corporate Yield Spreads and Bond Liquidity
- How Do Banks Manage Liquidity Risk? Evidence from the equity and deposit markets in the Fall of 1998
- Credit Ratings and Stock Liquidity
- Liquidity Risk and Arbitrage Pricing Theory
- Liquidity Black Holes
- Measuring Treasury Market Liquidity
- Liquidity Risk and Expected Stock Returns
- Liquidity Dynamics Across Small and Large Firms
- Liquidity Shocks and Equilibrium Liquidity Premia
- Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads
- Order Imbalance, Liquidity, and Market Returns
- Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
- Liquidation Risk
- Can Liquidity Risk be Subsumed in Credit Risk? A case study from Brady bond prices
- Bank Runs, Deposit Insurance, and Liquidity
- Commonality in Liquidity
- Liquidity in U.S. Fixed Income Markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets
- Modeling Liquidity Risk: With Implications for Traditional Market Risk Measurement and Management
- A Simple Model of Liquidity Effects
- Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
- Risk Aversion, Liquidity, and Endogenous Short Horizons
- The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US
- Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market
