Loriano Mancini is at EPFL and the Swiss Finance Institute. Angelo Ranaldo and Jan Wrampelmeyer are at the Swiss Institute of Banking and Finance, University of St. Gallen. The authors thank Campbell Harvey (the Editor), the Associate Editor, two anonymous referees, Viral Acharya, Francis Breedon, Michael Brennan, Pierre Collin-Dufresne, Rüdiger Fahlenbrach, Amit Goyal, Robert Hodrick, Antonio Mele, Lukas Menkhoff, Erwan Morellec, Ľuboš Pástor, Lasse Pedersen, Ronnie Sadka, René Stulz, Giorgio Valente, Adrien Verdelhan, Paolo Vitale, Christian Wiehenkamp, our discussants Alessandro Beber, Tarun Chordia, and Lucio Sarno, as well as participants at the 2012 American Economic Association meetings in Chicago, the 2010 Workshop on International Asset Pricing at the University of Leicester, the 2010 Eastern Finance Association Annual Meeting, the 2010 Midwest Finance Association Annual Meeting, the Warwick Business School FERC 2009 conference on Individual Decision Making, High Frequency Econometrics and Limit Order Book Dynamics, the 2009 CEPR/Study Center Gerzensee European Summer Symposium in Financial Markets, and the Eighth Swiss Doctoral Workshop in Finance for helpful comments. Financial support by the Swiss National Science Foundation—National Centre of Competence in Research “Financial Valuation and Risk Management”—is gratefully acknowledged.
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Version of Record online: 10 SEP 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 5, pages 1805–1841, October 2013
How to Cite
MANCINI, L., RANALDO, A. and WRAMPELMEYER, J. (2013), Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums. The Journal of Finance, 68: 1805–1841. doi: 10.1111/jofi.12053
- Issue online: 10 SEP 2013
- Version of Record online: 10 SEP 2013
- Accepted manuscript online: 9 APR 2013 12:00AM EST
- Manuscript Accepted: 29 MAR 2013
- Manuscript Received: 14 FEB 2011
- Swiss National Science Foundation—National Centre of Competence
Disclaimer: Supplementary materials have been peer-reviewed but not copyedited.
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