Do stock prices of publicly listed companies respond to changes in transaction costs? Using
the SEC's pilot program that increased the tick size for approximately 1,200 randomly …

In this article, we consider how different dimensions of liquidity have been measured in
financial markets and for various forms of real estate investment. The purpose of this …

In this paper we survey the theoretical and empirical literatures on market liquidity. We
organize both literatures around three basic questions:(a) how to measure illiquidity,(b) how …

The green bond market has dramatically expanded especially in Europe but severe liquidity
issues may undermine its rapid development. If few studies have assessed the implied …

ABSTRACT A model of infrequent rebalancing can explain specific predictability patterns in
the time series and cross‐section of stock returns. First, infrequent rebalancing produces …

Stocks with high uncertainty about risk, as measured by the volatility of expected volatility
(vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year …

We represent risk factors as sums of orthogonal components capturing fluctuations with
cycles of different length. The representation leads to novel spectral factor models in which …

The literature documents heterogeneity in the delay of stock price reaction to systematic
shocks, implying that asset risk depends on investment horizon. We study the pricing of risk …

This paper examines how liquidity and investors' heterogeneous liquidity preferences
interact to affect asset pricing. Using data on insurers' corporate bond holdings, we find that …

This paper surveys the literature on the impact of investor horizon on corporate policies.
While the desire to encourage long‐term investor ownership is shared among managers …