.S. equities during the Great Depression. Both show increasing market volatility and a prolonged large co-movement in equity prices …. What is unique about the Japanese case is the surprising fall in firm-level volatility and turnover in Japanese stocks … after its market crash in 1990. This large decrease in firm-level volatility may have impeded Japan's capital formation …

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 …

We build a model that helps explain why increases in liquidity - such as lower bid-ask spreads, a lower price impact of … a class of irrational investors, who underreact to the information contained in order flow, thereby boosting liquidity …. In the presence of short-sales constraints, unusually high liquidity is a symptom of the fact that the market is …

Market liquidity is modeled as being determined by the demand and supply of immediacy. Exogenous liquidity events … liquidity in the market. The lower is the autocorrelation in rates of return, the higher is the equilibrium level of liquidity …

Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the … predictions of microstructure models. Higher volatility is associated with faster, initially stronger reversals, while lower …

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …

question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use … reserves and the response of the economy tends to be larger. In this case, agents expect to be liquidity constrained and, due …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …