constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which … cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders … anonymous market. For this reason, concealing limit order traders’ IDs affects market liquidity in our model. We test this …

global liquidity creation by key central banks and, second, an ex-ante global saving glut, brought about by the entry of a … England’s liquidity management, regulatory failure of the FSA, an inadequate deposit insurance arrangement and deficient …

overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

more sensitive to a liquidity-risk factor. Our results imply that information asymmetry has a substantial effect on asset … prices and that a primary channel linking asymmetry to prices is liquidity. …

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must … patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained, and these patterns … execution delay in providing liquidity; their proportion in the population, which determines the degree of competition among the …