Downloadable Papers (sorted by date) See the top 20 books referenced/cited in these (below listed) papers. I've put a gray background on the top five most browsed papers in this category. (December-1)
An Extended Macro-finance Model with Financial Factors
by Hans Dewachter of the University of Leuven & Erasmus University, and
Leonardo Iania of the University of Leuven
(599K PDF) -- 58 pages -- November 2009 Illiquidity Component of Credit Risk
by Stephen Morris of Princeton University, and
Hyun Song Shin of Princeton University
(312K PDF) -- 42 pages -- September 2009 Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
by Jens H.E. Christensen of the Federal Reserve Bank of San Francisco,
Jose A. Lopez of the Federal Reserve Bank of San Francisco, and
Glenn D. Rudebusch of the Federal Reserve Bank of San Francisco
(341K PDF) -- 38 pages -- June 2, 2009 Limited Arbitrage and Liquidity in the Market for Credit Risk
by Amrut Nashikkar of New York University,
Marti Subrahmanyam of New York University, and
Sriketan Mahanti of Orissa Group, Inc.
(443K PDF) -- 50 pages -- February 9, 2009 Hedging Credit: Equity liquidity matters
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(209K PDF) -- 12 pages -- January 2009 Cash Holdings and Credit Risk
by Viral V. Acharya of the London Business School,
Sergei A. Davydenko of the University of Toronto, and
Ilya A. Strebulaev of Stanford University
(514K PDF) -- 46 pages -- December 1, 2008 Liquidating Illiquid Collateral (Job Market Paper)
by Martin Oehmke of Princeton University
(308K PDF) -- 42 pages -- December 2008 Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks
by Zhi Da of the University of Notre Dame, and
Pengjie Gao of Northwestern University
(281K PDF) -- 33 pages -- June 30, 2008 Latent Liquidity: A new measure of liquidity, with an application to corporate bonds
by Sriketan Mahanti of Orissa Group Inc.,
Amrut Nashikkar of New York University,
Marti Subrahmanyam of New York University,
George Chacko of 6S Capital GmbH, and
Gaurav Mallik of State Street Global Advisors
(475K PDF) -- 27 pages -- May 2008 Excess Volatility of Corporate Bonds
by Jack Bao of the Massachusetts Institute of Technology, and
Jun Pan of the Massachusetts Institute of Technology
(283K PDF) -- 36 pages -- February 28, 2008 Liquidity and Credit Default Swap Spreads
by Hong Yan of the University of South Carolina, and
Dragon Yongjun Tang of Kennesaw State University
(395K PDF) -- 65 pages -- August 20, 2007 Asset Liquidity, Debt Valuation and Credit Risk
by Ethan Cohen-Cole of the Federal Reserve Bank of Boston
(800K PDF) -- 38 pages -- April 2007 Liquidity Risk Premia in Corporate Bond Markets
by Frank de Jong of Tilburg University & University of Amsterdam, and
Joost Driessen of the University of Amsterdam
(222K PDF) -- 47 pages -- February 19, 2007 Liquidity and Capital Structure
by Ronald W Anderson of the London School of Economics, and
Andrew Carverhill of Hong Kong University
(449K PDF) -- 52 pages -- January 2007 Liquidity and Credit Risk
by Jan Ericsson of McGill University, and
Olivier Renault of the London School of Economics
(298K PDF) -- 32 pages -- October 2006 Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
by Ren-raw Chen of Rutgers University,
Xiaolin Cheng of Rutgers University, and
Liuren Wu of Baruch College
(338K PDF) -- 50 pages -- August 8, 2005 Liquidity Risk in the Corporate Bond Markets
by George Chacko of Harvard University & IFL
(357K PDF) -- 47 pages -- April 2006 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
by Francis A. Longstaff of the University of California, Los Angeles,
Sanjay Mithal of Deutsche Bank, and
Eric Neis of the University of California, Los Angeles
(264K PDF) -- 68 pages -- October 2005 Asset Pricing with Liquidity Risk
by Viral V. Acharya of the London Business School, and
Lasse Heje Pedersen of New York University
(402K PDF) -- 66 pages -- August 2005 A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
by Pierre Tychon of the European Investment Bank,
Vincent Vannetelbosch of the Universit� catholique de Louvain
(279K PDF) -- 36 pages -- Summer 2005 Liquidity, Default, Taxes and Yields on Municipal Bonds
by Junbo Wang of the City University of Hong Kong,
Chunchi Wu of Syracuse University, and
Frank Zhang of Morgan Stanley
(222K PDF) -- 53 pages -- July 8, 2005 Multi-period Corporate Short-term Credit Risk Assessment: A state-dependent stochastic liquidity balance model
by Hsien-Hsing Liao of National Taiwan University,
Tsung-Kang Chen of National Taiwan University, and
Tong-Li Chou of National Taiwan University
(329K PDF) -- 40 pages -- June 27, 2005 Comparing Possible Proxies of Corporate Bond Liquidity
by Patrick Houweling of Robeco Asset Management,
Albert Mentink of Erasmus University Rotterdam & AEGON Asset Management, and
Ton Vorst of Erasmus University Rotterdam Rotterdam & ABN Amro
(718K PDF) -- 41 pages -- June 2005 A Solvency Based Multi-period Corporate Short-term Credit Risk Model
by Hsien-hsing Liao of National Taiwan University, and
Tsung-kang Chen of National Taiwan University
(401K PDF) -- 46 pages -- May 9, 2005 How Do Banks Manage Liquidity Risk? Evidence from the equity and deposit markets in the Fall of 1998
by Evan Gatev of Boston College,
Til Schuermann of the Federal Reserve Bank of New York & Wharton, and
Philip E. Strahan of Boston College, Wharton , & NBER
(165K PDF) -- 36 pages -- February 2005 Credit Ratings and Stock Liquidity
by Elizabeth R. Odders-White of the University of Wisconsin, and
Mark J. Ready of the University of Wisconsin
(571K PDF) -- 58 pages -- October 2004 Liquidity Risk and Arbitrage Pricing Theory
by Umut �etin of the Technical University of Vienna,
Robert A. Jarrow of Cornell University, and
Philip Protter of Cornell University
(238K PDF) -- 31 pages -- August 2004 Liquidity Black Holes
by Stephen Morris of Yale University, and
Hyun Song Shin of the London School of Economics
(127K PDF) -- 18 pages -- March 2004 Measuring Treasury Market Liquidity
by Michael J. Fleming of the Federal Reserve Bank of New York
(335K PDF) -- 26 pages -- September 2003 Liquidity Risk and Expected Stock Returns
by Lubo� P�stor of the University of Chicago, and
Robert F. Stambaugh of the University of Pennsylvania
(4,809K PDF) -- 44 pages -- June 2003 Liquidity Dynamics Across Small and Large Firms
by Tarun Chordia of Emory University,
L. Shivakumar of the London Business School, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(1,809K PDF) -- 48 pages -- May 13, 2003 Liquidity Shocks and Equilibrium Liquidity Premia
by Ming Huang of Stanford University
(271K PDF) -- 26 pages -- March 2003 Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads
by Dan Covitz of the Federal Reserve Board, and
Chris Downing of the Rice University
(248K PDF) -- 42 pages -- October 2, 2002 Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
by Tibor Janosi of Cornell University,
Robert Jarrow of Cornell University, and
Yildiray Yildirim of Cornell University
(1,809K PDF) -- 38 pages -- Fall 2002 Order Imbalance, Liquidity, and Market Returns
by Tarun Chordia of Emory University,
Richard Roll of the University of California, Los Angeles, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(162K PDF) -- 20 pages -- July 2002 Liquidation Risk
by Darrell Duffie of Stanford University, and
Alexandre Ziegler of the University of Lausanne
(125K PDF) -- 14 pages -- August 20, 2001 Can Liquidity Risk be Subsumed in Credit Risk? A case study from Brady bond prices
by Henri Pag�s of the Bank for International Settlement
(510K PDF) -- 27 pages -- July 2001 Bank Runs, Deposit Insurance, and Liquidity
by Douglas W. Diamond of the University of Chicago and
Philip H. Dybvig of Washington University in St. Louis
(137K PDF) -- 9 pages -- Winter 2000 Commonality in Liquidity
by Tarun Chordia of Vanderbilt University,
Richard Roll of the University of California, Los Angeles, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(175K PDF) -- 26 pages -- April 2000 Liquidity in U.S. Fixed Income Markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets
by Sugato Chakravarty of Purdue University, and
Asani Sarkar of Federal Reserve Bank of New York
(192K PDF) -- 43 pages -- March 15, 1999 Modeling Liquidity Risk: With Implications for Traditional Market Risk Measurement and Management
by Anil Bangia of Oliver, Wyman & Company,
Francis X. Diebold of the University of Pennsylvania & the Oliver Wyman Institute,
Til Schuermann of Oliver, Wyman & Company, and
John D. Stroughair of Oliver, Wyman & Company
(115K PDF) -- 16 pages -- December 21, 1998 A Simple Model of Liquidity Effects
by L. C. G. Rogers of the University of Bath, and
Omar Zane of the University of Bath
(180K PDF) -- 14 pages -- August 1998 Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
by Shing-yang Hu of National Taiwan University & University of Chicago
(109K PDF) -- 29 pages -- January 1997 Risk Aversion, Liquidity, and Endogenous Short Horizons
by Craig W. Holden of Indiana University, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(405K PDF) --32 pages -- Summer 1996 The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US
by Stephen R. Foerster at the University of Western Ontario and,
G. Andrew Karolyi at the Ohio State University
(204K PDF) -- 63 pages -- February 1996 Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market
by Jacob Boudoukh of New York University, and
Robert F. Whitelaw of New York University
(314K PDF) -- 28 pages -- Summer 1993 | 
