sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information …

. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset …

stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about …

. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid …

has implications for trading motives, market structure, and the process by which new information is incorporated into …

, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using …