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 …

We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market … liquidity worsen when the economy is slowing down, and this effect is most pronounced for small firms. Using data for both the … US and Norway, we find strong evidence that stock market liquidity predict the current and future state of the economy …

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 …