important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …

activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and … the cross-sectional variation in stock liquidity at a more detailed level. Originality/value - The originality of the … paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since …

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book … capitalized stocks, and find empirical support for one of the main hypothesis put forth by the theory of limit order book markets …, which states that liquidity supply and adverse selection costs are inversely related. We also show that adverse selection …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …