We show how real and financial frictions amplify, prolong, and propagate the negative
impact of uncertainty shocks. We use a novel instrumentation strategy to address …

We develop a canonical framework to think about credit market frictions and aggregate
economic activity in the context of the current crisis. We use the framework to address two …

Micro-and macro-level evidence indicates that fluctuations in idiosyncratic uncertainty have
a large effect on investment; the impact of uncertainty on investment occurs primarily through …

This study investigates whether marketwide liquidity is a state variable important for asset
pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of …

We provide a model that links an asset's market liquidity (ie, the ease with which it is traded)
and traders' funding liquidity (ie, the ease with which they can obtain funding). Traders …

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-
adjusted capital asset pricing model, a security's required return depends on its expected …

We build a macrofinance model of shadow banking—the transformation of risky assets into
securities that are money‐like in quiet times but become illiquid when uncertainty spikes …

This paper provides new evidence of how macroeconomic conditions affect capital structure
choice. We model firms' target capital structures as a function of macroeconomic conditions …

Using a new measure of liquidity, this paper documents a significant liquidity premium
robust to the CAPM and the Fama–French three-factor model and shows that liquidity is an …

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets
provide an ideal setting to examine the impact of liquidity on expected returns. Our main …