Liquidity premium
19 papers on liquidity premium as a systematic trading strategy. Illiquidity premia and liquidity-sorted returns.
Also searched as: illiquidity premium, liquidity factor, Amihud illiquidity, liquidity risk premium
Papers192002–2026
Share of the family100 %19 of 19
Asset
Method
Papers by yearLiquidity premium
Related familiespapers shared with this family
| Most cited in each asset | cited by | asset | |
|---|---|---|---|
| Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity by PFLUEGER and ViceiraBonds and credit | 49 | Bonds and credit | 2011 |
| Liquidity Premia and Transactions Costs by Liu et al.Equities | 44 | Equities | 2005 |
| Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs by Tan and LynchAsset not named | 15 | Asset not named | 2007 |
| Latest additions | asset | |
|---|---|---|
| The Structural Liquidity Factor: Persistent Alpha Beyond Fama-French by BoutgajouftCurrencies | Currencies | 2026 |
| Zero-Beta Decorrelation in Structural Liquidity Strategies: Theoretical Implications of a Decade-Spanning Empirical Anomaly by BoutgajouftEquities | Equities | 2026 |
| Aggregate Liquidity Premium and Cross-Sectional Returns: Evidence from China by Liao et al.Equities | Equities | 2020 |
| Stock Liquidity Premium With Stochastic Price Impact and Exogeous Trading Strategy by StereńczakEquities | Equities | 2018 |
| The Pricing of the Illiquidity Factor’s Conditional Risk with Time-varying Premium by Amihud and NohEquities | Equities | 2016 |
Assets with their own page
15 papers| Liquidity premium in equities | 15 |
Liquidity premium in currencies
1 paper| cited by | method | ||
|---|---|---|---|
| The Structural Liquidity Factor: Persistent Alpha Beyond Fama-French by Boutgajouft | 0 | Linear factor models | 2026 |
Liquidity premium in bonds and credit
1 paper| cited by | method | ||
|---|---|---|---|
| Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity by PFLUEGER and Viceira | 49 | 2011 |
Liquidity premium, no asset class named
2 papers| cited by | method | ||
|---|---|---|---|
| Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs by Tan and Lynch | 15 | 2007 | |
| Evolutionary Portfolio Selection With Liquidity Shocks by De Giorgi | 0 | 2004 |
Papers on liquidity premium from other families
4 papers| filed under | ||
|---|---|---|
| Deep Reputation Scoring in DeFi: zScore-Based Wallet Ranking from Liquidity and Trading Signals by Kandaswamy et al. | Market making | 2025 |
| Unravelling cross-sectional patterns in cryptocurrencies: a four-factor asset pricing model by Ali et al. | Size premium | 2025 |
| What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? by Fan et al. | Market making | 2013 |
| Technical Trading and Strategic Liquidity Provision by Xia and Guo | Market making | 2012 |