This paper provides a thorough review of the liquidity measures that are used in the
empirical literature to measure liquidity. A wide range of papers have emphasized its role …

We study the economic sources of stock-bond return comovements and their time variation
using a dynamic factor model. We identify the economic factors employing a semi structural …

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 …

Private equity has traditionally been thought to provide diversification benefits. However,
these benefits may be lower than anticipated as we find that private equity suffers from …

This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-
section of corporate bond returns for the period of 1994–2016. Results show that bonds with …

The scarcity of suitable proxies for asymmetric information has impeded empirical research
from providing reliable evidence on whether information risk shapes equity pricing. In …

Standard option valuation models leave no room for option illiquidity premia. Yet we find the
risk-adjusted return spread for illiquid over liquid equity options is per day for at-the-money …

This paper investigates the linkage of microstructure, accounting, and asset pricing. We
determine the relationship between firm characteristics as captured by accounting and …

In response to the global financial crisis that started in August 2007, central banks provided
extraordinary amounts of liquidity to the financial system. To investigate the effect of central …

We show that liquidity risk is priced in the cross section of returns on credit default swaps
(CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels …