I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

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 …

The hedge-fund industry has grown rapidly over the past two decades, offering investors
unique investment opportunities that often reflect more complex risk exposures than those of …

We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity
measures covering over 4,000 corporate bonds and spanning both investment grade and …

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 …

The effective cost of trading is usually estimated from transaction‐level data. This study
proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the …

We review the theories on how liquidity affects the required returns of capital assets and the
empirical studies that test these theories. The theory predicts that both the level of liquidity …

We argue that information about firm activities can vary substantially in the presence of
founder or heir ownership, thereby influencing the risks borne by minority investors. We …

We derive a closed‐form optimal dynamic portfolio policy when trading is costly and security
returns are predictable by signals with different mean‐reversion speeds. The optimal …

We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility
and transaction costs. Our key assumption is that investors are fund managers, subject to …