improvement in liquidity and trading activity. …

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 …

We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus … on whether liquidity effects are more pronounced in periods of financial crises, especially for bonds with high credit … range of liquidity measures and find that liquidity effects account for approximately 14% of the explained market …

We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants … (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and … institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity …

factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically …

liquidity. Our findings highlight significant time-series variation in the magnitude of short-term return reversals and suggest … liquidity and that these increases significantly affect the dynamics and information content of market prices. …