employ a recently developed multivariate matching approach (entropy balancing) to adjust for determinants in place of relying … on a linear model. Entropy balancing identifies weights for the control sample to equalize the distribution of … poor fit, we find that entropy balancing significantly improves accrual model specification by reducing coefficient bias …

Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, we … find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a … pressure. The empirical results confirm this liquidity oversupply explanation. The negative correlation between previous …

liquidity provision. However, in this paper, we find that intraday reversal has no significant dependence on stock liquidity for … results confirm this liquidity oversupply explanation. The negative correlation between previous intraday returns and future … due to excessive liquidity provision from uninformed retail traders instead of a price correction from a temporary price …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …-integration of liquid assets and liabilities, to maintain a minimum short-term liquidity buffer. Still, microprudential regulation …