We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory … to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is … significant pricing anomalies due to liquidity exist for euro- denominated bonds. We find that the yield premium between liquid …

the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … composition of the trade. We use the opening bid-ask spread as a measure of market liquidity. We find that as the number of trades …

particular reference to how short sales may enhance informational efficiency and their relationship with liquidity. The paper … may be desirable on the Maltese stock market for enhancing price efficiency and liquidity, yet a more formal framework for … stock market, due to low liquidity levels. …

that has been brought forward in the literature is the liquidity hypothesis according to which an increase in liquidity … after an addition is responsible for the observed rise in value. In the following paper, we examine liquidity effects on … as indicators for liquidity. While there is a medium term price effect, bid-ask spreads do not change significantly due …

This paper tries to find a widely accessible measure of liquidity and studies its impact on asset pricing. Using … trading turnover as a measure of liquidity and the 1976-1993 Tokyo Stock Exchange data, I find that, cross-sectionally, stocks …