Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies of … trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our …-section of expected returns for NYSE-listed stocks: we obtain monthly liquidity premium estimates of 5.3bp for expected returns …

Lou and Sadka (2011) examine the effect of stock liquidity characteristics on stock performance during the 2008 …-2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis …. Lou and Sadka (2011) measure liquidity via Amihud’s (2002) illiquidity measure. I construct a new measure of illiquidity …

liquidity identification and measurement in simulated environments, which can then be applied to empirical markets, which do not …This paper examines a number of widely used liquidity measures to assess the consistency and reliability of the … measures across different liquidity scenarios. A review is conducted of the various measures (based on Gabrielsen, Marzo and …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

diversification benefits for international investors. However, many stocks in these markets are thinly traded so liquidity is an … important consideration. We investigate which liquidity proxies best measure the actual cost of trading in 19 frontier markets … with liquidity benchmarks, while the FHT measure provides the best measure of the magnitude of actual transaction costs …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

Liquidity is easily perceived but not easily defined in financial markets. In this study, we present a class of … liquidity measures called Proper Liquidity Measures (PLM). We prove that widely used measure such as percent quoted spreads and … the performance of these measures: a) the relationship between liquidity and implied volatility and b) common factors in …

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 paper examines the relationship between liquidity and quality of financial information by analyzing long …. Overall, my results indicate a positive relationship between quality of financial information and liquidity …