recent global liquidity crisis and, in particular, the quant event of 2007. …

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

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

faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in …

they must deliver the asset they borrowed. That asset enjoys greater liquidity, measured by search times, and a higher … lending fee ('specialness'). Liquidity and specialness translate into price premia that are consistent with no-arbitrage. We …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on …

liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

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 …

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they … predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions … uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …