liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk … stock's return is more sensitive to unexpected changes in market volatility when its liquidity disappears more in response … to volatility shocks, which indicates that liquidity providers play an important role in determining the effect of market …

This chapter examines the impact the European sovereign debt market crisis had on liquidity and volatility dynamics and … time-varying correlations as well as the intertemporal interactions of liquidity proxies with volatility and returns. Our …, Europe's premier electronic fixed-income trading market, is employed to construct a variety of microstructure liquidity and …

We study the dynamic impact of idiosyncratic volatility and bond liquidity on corporate bond spreads over time and … empirically disentangle both effects. Using an extensive data set, we find that both idiosyncratic volatility and liquidity are … effects of volatility and liquidity shocks on bond spreads were both exacerbated during the recent financial crisis. Liquidity …

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 …

liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA …We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding …-GARCH/EGARCH representation to model the liquidity-adjusted return for individual assets, and a liquidity-adjusted VECM/VAR-DCC/ADCC structure to …

REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on …

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's returns for a sample of … both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity …

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's stock returns for a sample … liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock …

REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on …