Using eight measures of liquidity, and addressing the potential endogeneity of initial returns, we find underpricing … generally increases the secondary market liquidity of IPOs over the first year of trading, irrespective of the horizon over … which liquidity is measured. For two model specifications over the eight measures, fifteen regressions display signs …

stocks. The long-term price increase for added stocks can be attributed to increases in institutional ownership, liquidity … effect on analyst coverage and shadow cost, we find a rebound in the institutional ownership and liquidity of deleted stocks …

measurement of commonalities in liquidity and comovements of stocks and bid-ask spreads into the forecasting of three types of … liquidity-adjusted intraday Value-at-Risk (L-IVaR). In a preliminary analysis, we document strong extreme comovements in … liquidity and strong tail dependence between bid-ask spreads and log returns across the firms in our sample thus motivating our …

This paper examines the trading behavior of two groups of liquidity providers (specialists and competing market makers … market-wide measure of liquidity. A double sort using past trades of specialists and competing market makers produces a long …-short portfolio that earns 88 basis points per week (act as complements). Finally, we identify a “chain” of liquidity provision …

The paper empirically explores how more trade transparency affects market liquidity. The analysis takes advantage of a … more transparency need not improve market liquidity. Second, the paper finds a particularly strong immediate liquidity … to the data, the study can empirically establish the functional form between market-wide transparency and liquidity. The …