Bank funding constraints and stock liquidity
用银行信用违约互换利差衡量融资约束，发现融资约束增强会削弱银行股票流动性，危机时更明显，且流动性恶化会反映在超额收益中；货币扩张可打破此关系，但政策不确定性会强化它。
This paper examines the relationship between bank marginal funding constraints and stock liquidity. Using bank credit default swap (CDS) spreads we show that increased funding constraints weaken bank stock liquidity (as measured by liquidity tightness, depth, and resilience). This effect strengthens during crises periods. Deteriorating bank stock liquidity is in turn priced into excess stock returns. In addition, we find that during liquidity crises, monetary expansion can break the relationship between funding costs and stock liquidity. Heightened monetary policy uncertainty, however, strengthens this relation.