Kamara, Avraham; Lou, Xiaoxia; Sadka, Ronnie - In: Journal of Financial Economics 89 (2008) 3, pp. 444-466
This paper demonstrates that the cross-sectional variation of liquidity commonality has increased over the period 1963-2005. The divergence of systematic liquidity can be explained by patterns in institutional ownership over the sample period. We document that our findings are associated with...