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This thesis is a collection of essays on financial liquidity and risk. The first two es-says investigate the liquidity, liquidity premia, and liquidity risk premia of corporate bonds. The third essay examines the risk exposures of hedge fund strategies. The first two essays are single-authored, while the third is coauthored with William Kinlaw, John Papp, and David Turkington. The first essay examines the liquidity and liquidity risk premia of investment-grade corporate bonds. I build on standard continuous-time structural credit models by incor-porating an illiquid secondary market for bonds and by allowing this illiquidity to co-vary with Markov risk regimes. Then, using TRACE corporate bond transaction data from 2003 to 2011, two alternative measures of illiquidity, and consumption-liquidity regimes inferred from the data, I show that liquidity and liquidity risk have significant explanatory power in bond yield spreads, both in a reduced-form regression analysis, and in a structural model-calibration analysis. This effect is present both within and across bond rating classes, and is substantially stronger in the period following the 2007-200