This paper provides evidence that supports the original hypothesis of Chordia, Subrahmanyam, and Ashuman (2001) that greater variability in liquidity should lead to higher expected returns. While prior research has often found a negative relation between the volatility of liquidity and expected...

The return premium associated with the illiquidity of stocks is well documented. In this study, we focus our attention on the uncertainty of liquidity. We test whether brief but significant liquidity droughts, as measured by the maximum daily bid-ask spread during a particular month, are...

In this study, we examine the trading activity and volatility of stocks influenced by the US Securities and Exchange Commission's pilot program that increased tick sizes for various samples of stocks. The objective of the program is to examine possible improvements to the market quality of...

We examine daily short-selling activity and prices around reverse stock splits. Using a difference-in-difference approach with a matched sample of reverse splitting and non-reverse splitting stocks, we show that short selling increases in stocks that reverse split, relative to those that do not....