, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most … financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …