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 …

credit risk transfer. The possibility of transferring credit reduces the impact of liquidity shocks on bank balance sheets …

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 …

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

This paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book … liquidity. We develop and estimate several econometric models, based on depth and prices in the book, as well as on the slopes … of the limit order book. The dynamics of different dimensions of liquidity are analyzed: prices, depth at and beyond the …