little support for claims that fair-value accounting leads to excessive write-downs of banks' assets. If anything, empirical …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …

transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four … framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area … components, the average potential spillover: i) amongst sovereigns, ii) amongst banks, iii) from sovereigns to banks, and iv …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …