Asset Pricing with Liquidity Risk

This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with market return and market liquidity. In addition, the model shows how a negative shock to a security's liquidity, if it is persistent, results in low contemporaneous returns and high predicted future returns. The model provides a simple, unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels.

Flexible friends? Flexible working time arrangements, blurred work-life boundaries and friendship

The changing nature and demands of work raise concerns about how workers can find time for activities such as friendship and leisure, which are important for well-being. This article brings friendship into the work-life debate by exploring how individuals do friendship in a period characterised by time dilemmas, blurred work-life boundaries and increased employer- and employee-led flexible working. Interviews with employees selected according to their working time structures were supplemented by time use diaries. Findings indicate that despite various constraints, participants found strategies for making time for friendship by blurring boundaries between friends and family and between friends and work. However, the impacts of flexible working time structures were complex and double-edged

Measuring systemic risk

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced. An institution’s contribution, denoted systemic expected shortfall (SES), is its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence. Institutions internalize their externality if they are “taxed” based on their SES. Through several examples, we demonstrate empirically the ability of components of SES to predict emerging systemic risk during the nancial crisis of 2007-2009.Systemic risk ; Risk