We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate … liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises … that, following negative news, the sensitivity to aggregate liquidity increases for less-liquid mutual funds, like those …

changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading …. Using a rich regulatory dataset on S&P 500 E-mini futures and 10-year Treasury futures markets, we show that this liquidity …