future market returns. This result still holds after controlling for the size or liquidity of the firms or for current …

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …

We examine the relation between liquidity, volume, and volatility using a comprehensive sample of U.S. stocks in the … cross-section. Evidence from alternative liquidity measures (price impact and depth), spread decomposition, and intraday …

construct an endogenous measureof systemic, non-diversi able risk capturing the cross-sectional liquidity-risk mismatch ….Consistent with the model predictions, we find that liquidity mismatch positivelypredicts prices in the D2D market whereas the cross …

The paper studies the effect of growing mutual fund and ETF ownership on the commonality in liquidity of underlying … bonds. Unpredictable liquidity needs of funds may give rise to correlated trading across underlying illiquid bonds. I … document that there is a positive and significant relationship between ETF ownership and liquidity commonality of investment …

Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and … traders concentrate their trades in large and liquid stocks, but even in these, their liquidity provision is minimal. When … intermediary balance sheets are weak, proprietary traders do not provide any liquidity. Furthermore, proprietary traders do not …