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 …

higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions …

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 …

-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a … significant relationship between market liquidity and investor sentiment, (ii) shows that market liquidity (illiquidity …) negatively (positively) predicts subsequent market returns, (iii) provides market liquidity based explanation to the …

In this paper we want to trace back the origin of what has been called the low volatility anomaly. In particular we are …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …