Brennan, Michael J.; Chordia, Tarun; Subrahmanyam, Avanidhar - In: Journal of Financial Economics 105 (2012) 3, pp. 523-541
sell-order liquidity is priced more strongly than buy-order liquidity in the cross-section of equity returns. Indeed, our … analysis indicates that the liquidity premium in equities emanates predominantly from the sell-order side. We also find that … lambdas are significantly positively correlated with measures of funding liquidity such as the TED spread as well option …