largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation … effects in municipal bonds. Recent regulatory initiatives to improve transparency have made granular trade data available to …

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 … immediacy because it does not account for failed attempts to trade. The true cost of immediacy is substantially higher than the …

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 …