Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc … grounds. In this paper we propose a welfare-based denition of liquidity and characterize its relationship to the usual proxies … intermediaries pursue prot opportunities by providing intermediation services (i.e. "liquidity") in exchange for an endogenous fee …

identical, implying that the concentration of liquidity in one asset is socially desirable. At the same time, too many buyers …

and market liquidity are different in each market design. We test these predictions using a natural experiment. As of …

Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how … liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price …, and provides a rationale for incorporating, liquidity in estimating term structure. Forecasting performance can be greatly …

cap stocks at market close than at open. Search cost is related significantly to order-based market liquidity measures …

presumably do so in the near future in crucial issues such capital requirements, liquidity, leverage, systemic risk, etc. This …

absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and …

business cycle and suggests that they may also account for the phenomenon of liquidity preference. It suggests that the concept … of liquidity preference constitutes a potential common ground between value-theoretic and post-Keynesian schools of …