execution speed and cost. Central dealers provide immediacy by pre-arranging fewer trades and holding larger inventory. However …, trading costs increase strongly with dealer centrality. Investors with strong liquidity need trade with central dealers and at … times of market-wide illiquidity. Central dealers thus serve as liquidity providers of last resort. …

more sensitive to a liquidity-risk factor. Our results imply that information asymmetry has a substantial effect on asset … prices and that a primary channel linking asymmetry to prices is liquidity. …

We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which … cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders … anonymous market. For this reason, concealing limit order traders’ IDs affects market liquidity in our model. We test this …

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must … patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained, and these patterns … execution delay in providing liquidity; their proportion in the population, which determines the degree of competition among the …

overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

We describe a new mechanism that explains the transmission of liquidity shocks from one security to another ("liquidity … precise information, a drop in liquidity for one security raises the uncertainty for dealers in other securities, thereby … affecting their liquidity. The direction of liquidity spillovers is positive if the fraction of dealers with price information …

-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity … varies over time, we can disregard any cross-sectional differences between the securities. Also, since the liquidity of … Treasury notes varies predictably over time we are able to distinguish between current liquidity and expected future liquidity …

liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to …