We propose a broad measure of liquidity for the overall financial market by exploiting its connection with the amount … more "noise.'' As such, noise in the Treasury market can be informative and we expect this information about liquidity to … -- high liquidity and low credit risk. Indeed, we find that our "noise'' measure captures episodes of liquidity crises of …

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

This paper presents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and … liquidity and large price deviations from fundamentals. Moreover, market forces fail to lead to efficient supply of liquidity … efficiency consequences. For example, lowering the cost of supplying liquidity on the spot (e.g., through direct injection of …

In this paper, we develop an equilibrium model for stock market liquidity and its impact on asset prices when constant … prevents them from synchronizing their trades and hence gives rise to endogenous order imbalances and the need for liquidity …. Moreover, the endogenous liquidity need, when it occurs, is characterized by excessive selling of significant magnitudes. Such …