. Theory predicts this technological advantage should translate into market-wide liquidity co-variation, by transmitting … information-based liquidity shocks. Using a dataset of orders and trades from the French stock market, we investigate whether HFT … algorithms constitute a source of systematic liquidity risk. We demonstrate that, across securities, the liquidity offered by …

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …

We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …

This study examines how aggregate corporate profit growth (CP) dynamically influences liquidity in the stock market …

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …

to proxy illiquidity. We show that transaction costs were low and comparable to today's costs. Liquidity was negatively … correlated with active informed trading, particularly being low for small and distressed stocks and in crises times. Liquidity …