Given the evidence that the level of liquidity affects asset returns, a reasonable hypothesis is that the second moment of liquidity should be positively related to asset returns, provided agents care about the risk associated with fluctuations in liquidity. Motivated by this observation, we...

We analyze the relation between expected equity returns and the level as well as the volatility of trading activity. We document a negative cross-sectional relationship between stock returns and the variability of dollar trading volume and share turnover, after controlling for size,...

type="main" xml:lang="en" <p>A number of futures markets use price limits which, in effect, preclude trade from occurring at prices outside certain exogenous bounds. Noting that such markets are characterized by heterogeneously informed traders, whereas previous work on price limits assumes...</p>