---
title: The Price of Systemic Liquidity Risk: An Intertemporal Theory of Financial Fragility and Cross-Sectional Returns
url: https://www.ml-quant.com/papers/ssrn/7632078/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-23
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7632078
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7632078
featured: 2026-10-23
citations: unknown
topic: Asset Pricing & Factors
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7632078
- Identifier: SSRN 7632078
- Released: 2026-10-20
- First featured: Quant Letter No. 136 (2026-10-23): https://www.ml-quant.com/issues/2026-10-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors
- Authors: Bingsen Jia, Rose Neng Lai

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