COMERTON-FORDE, CAROLE; HENDERSHOTT, TERRENCE; JONES, … - In: Journal of Finance 65 (2010) 1, pp. 295-331
We show that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, we find that aggregate market-level and specialist...