liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal … of the position but increasing in the liquidity price impact. …

We examine portfolio trading and its impact on corporate bond liquidity. Our theoretical framework identifies how … trading is generally beneficial to bond market liquidity, particularly so for riskier and illiquid bonds. However, we also … show that these positive benefits do not always arise, and that it becomes a costly solution for liquidity provision when …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …