The Price of Systemic Liquidity Risk: An Intertemporal Theory of Financial Fragility and Cross-Sectional Returns
An intertemporal model shows that bank maturity transformation creates priced systemic risk where high liquidity-beta assets underperform by six to seventeen percent quarterly during stress.
Featured in No. 136 on 23 Oct 2026 · 3 days after release
- Released
- 20 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7632078
- Authors
- Bingsen Jia and Rose Neng Lai
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).