In order to reconcile weak evidence of supply-side determinants of commonality in liquidity in previous studies, we … examine commonality in liquidity in China over the period 1995-2012. Consistent with supply-side explanations, we find that … market declines and market volatility increase liquidity commonality. To identify the direct relationship between the supply …

liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …

This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the … valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More … importantly, our study shows that asset liquidity plays a more significant role in resolving valuation uncertainty in countries …

This paper provides original evidence on the relation between herd behavior and equity market liquidity, an issue that … initially we find no evidence of herding. When, however, we condition on the daily liquidity of stocks we find significant … evidence of herd behavior for days with high or medium stock liquidity, for all countries and the majority of the sub …

This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of … the value impact of stock liquidity. This association is robust to various endogeneity tests including a difference … increases the value impact of liquidity by reducing managerial entrenchment, encouraging informed trading, and enhancing pay …

, driven by arbitrage asymmetry. The latter effect is also reflected in a univariate sort based on liquidity: a negative …. Furthermore, negative liquidity shocks increase overpricing, whereas positive shocks increase underpricing. These results … emphasize the important role of liquidity in explaining the cross-section of expected stock returns …

Volume-based liquidity ratios suffer from potential measurement bias due to share restriction and may misrepresent … actual liquidity. In this paper, we develop a modified metric, the free-float liquidity ratio. We argue that this measure is … better suited to estimate liquidity in the presence of trading constraints as can be found in family-owned businesses or …

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …

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 …