institutions. The reason is that agents in need of liquidity tend to concentrate their holdings in banks. Thus, a shock to banks … disproportionately affects the agents who need liquidity the most, reducing aggregate demand and the level of economic activity. The …

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs … a non-negativity constraint. Liquidity is increasing in arbitrageur wealth, while asset volatilities, correlations, and … expected returns are hump-shaped. Liquidity is a priced risk factor: assets that suffer the most when liquidity decreases, e …

Is greater trading liquidity good or bad for corporate governance? We address this question both theoretically and … information concerns her own plans for taking an active role in governance. We show that an increase in the liquidity of the firm …'s stock increases the likelihood of the large investor ‘taking the Wall Street walk.’ Thus, higher liquidity is harmful for …

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. …

liquidity cycles. Monitoring decisions by market-makers and market-takers are self-reinforcing, generating multiple equilibria … with differing liquidity levels and duration clustering. The trading rate is typically maximized when makers and takers are … make/take fees, the trading rate, the bid-ask spread, and the effects of algorithmic trading on liquidity and welfare. …

-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 …