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 …

The convention in calculating trading costs in corporate bond markets is to assume that dealers provide liquidity to … provide liquidity in corporate bond markets, and thus, average bid-ask spreads underestimate trading costs that customers … demanding liquidity pay. Compared with periods before the 2008 financial crisis, substantial amounts of liquidity provision have …