Martínez, Miguel A.; Nieto, Belén; Rubio, Gonzalo; … - Departamento de Economía de la Empresa, Universidad … - 2002
It seems reasonable to expect systematic liquidity shocks to affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks(Chordia, Roll and Subrahmanyam (2000)). Thus, this paper empirically...