Downloadable Papers (sorted by date)

Liquidity books:  here

NEW: 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.   (April-1)

Excess Volatility of Corporate Bonds
by Jack Bao of the Massachusetts Institute of Technology, and
Jun Pan of the Massachusetts Institute of Technology & NBER
(283K PDF) -- 36 pages -- February 28, 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
(489K PDF) -- 57 pages -- April 8, 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
(227K PDF) –- 47 pages -- September 21, 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 UCLA,
Sanjay Mithal of Deutche Bank, and
Eric Neis of UCLA
(264K PDF) -- 68 pages -- October 2005

A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
by Pierre Tychon of the European Investment Bank,
Vincent Vannetelbosch of FNRS & CORE, Université catholique de Louvain
(279K PDF) -- 36 pages -- August 19, 2005

Demand Discovery and Asset Pricing
by Michael Gallmeyer of Texas A&M,
Burton Hollifield of Carnegie Mellon University, and
Duane Seppi of Carnegie Mellon University
(478K PDF) -- 63 pages -- August 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

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 Black Holes
by Stephen Morris of Yale University, and
Hyun Song Shin of the London School of Economics
(235K PDF) -- 29 pages -- November 21, 2003

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 Luboš Pástor 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

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

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
(2,250K PDF) -- 39 pages -- June 20, 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 Pagès 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 at Los Angeles, and
Avanidhar Subrahmanyam of the University of California at 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

Additional References (sorted by author)

Amihud, Yakov and Haim Mendelson, "Liquidity, Maturity, and the Yields on U.S. Treasury Securities", Journal of Finance, Vol. 46, No. 4, (September 1991), pp. 1411-1425. [Abstract]

Boudoukh, Jacob, Matthew Richardson, Tom Smith, and Robert F. Whitelaw, "Ex Ante Bond Returns and the Liquidity Preference Hypothesis", Journal of Finance, Vol. 54, No. 3, (June 1999), pp. 1153-1167. [Abstract]

Brennan, Michael J. and Avanidhar Subrahmanyam, "Market Microstructure and Asset Pricing: On the compensation for illiquidity in stock returns", Journal of Financial Economics, Vol. 41, (1996), pp. 441-464. [Abstract]

Cherubini, Umberto and Giovanni Della Lunga, "Liquidity and Credit Risk", Mathematical Finance, Vol. 8, No. 2, (May 2001), pp. 79-95. [Abstract]

Crabbe, Leland E. and Christopher M. Turner, "Does the Liquidity of a Debt Issue Increase with Its Size? Evidence from the Corporate Bond and Medium-Term Note Markets", Journal of Finance, Vol. 50, No. 5, (December 1995), pp. 1719-1734. [Abstract]

Diamond, Douglas W. and Raghuram G. Rajan, "Liquidity Risk, Liquidity Creation and Financial Fragility: A theory of banking", Journal of Political Economy, Vol. 109, No. 2, (April 2001), pp. 287-327. [Abstract]

Easley, David, Nicholas M. Kiefer, Maureen O'Hara, and Joseph B. Paperman, "Liquidity, Information, and Infrequently Traded Stocks", Journal of Finance, Vol. 51, No. 4, (September 1996), pp. 1405-1436. [Abstract]

Jacoby, Gady, David J. Fowler, and Aron A. Gottesman, "The Capital Asset Pricing Model and the Liquidity Effect: A theoretical approach", Journal Of Financial Markets, Vol. 3, No. 1, (February 2000), pp. 69-81. [Abstract]

Kamara, Avraham, "Liquidity, Taxes, and Short-Term Treasury Yields", Journal of Financial and Quantitative Analysis, Vol. 29, No. 3, (September 1994), pp. 403-417. [Abstract]

Longstaff, Francis A., "How Much Can Marketability Affect Security Value?", Journal of Finance, Vol. 50, No. 5, (December 1995), pp. 1767-1774. [Abstract]

Sarig, Oded and Arthur Warga, "Bond Price Data and Bond Market Liquidity", Journal of Financial and Quantitative Analysis, Vol. 24, No. 3, (September 1989), pp. 367-378. [Abstract]

Shleifer, Andrei and Robert W. Vishny, "Liquidation Values and Debt Capacity: A Market Equilibrium Approach", Journal of Finance, Vol. 47, No. 4, (September 1992), pp. 1343-1366. [Abstract]

Books

Liquidity Black Holes: Understanding, Quantifying and Managing Financial Liquidity Risk by Avinash Persaud (Editor), Risk Books, December 2003, Hardcover, 272 pages