double the roundtrip markups to investors compared to peripheral dealers. In turn, central dealers provide immediacy by …

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 …

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

This paper measures the time-varying provision of liquidity by buy-side customers (e.g., mutual funds and pension funds … simple theory model, shocks to the relative willingness of customers and bond dealers to provide liquidity affect, in … events, such as exposing the increased role of buy-side customers for liquidity provision after the many regulatory changes …

initial underpricing and higher liquidity: New bonds generally have lower yields than seasoned benchmarks, and average … benchmark-adjusted returns form a humped pattern by horizon. We then test whether liquidity effects in bonds are linked to … issuers' equity liquidity. Generally, we find that equity and bond illiquidity are linked at the firm level, and that equity …

asymmetric information and risk. Ellul and Pagano (2006) first linked the underpricing with liquidity proxies like liquidity risk … and effective spread. In this paper I propose a different liquidity based framework which compares an IPO to a large sell …-initiated block trade, and the underpricing to the price pressure effect of the trade itself, which means the price for the liquidity …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …