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 …

potential discrepancies in risk-taking behavior. We subdivide our sample into two sub-samples (East Europe and West Europe …

a more severe global liquidity shortage phase (post-Lehman). Significant structural breaks are found in the returns and …

. With a single exception, the national returns fall neatly into three geographical areas: Asia, Europe, and North America …. Interestingly, Australian returns were associated with Europe rather than the local geographical area of Asia. Results from four … confirmatory factor analysis models show that the best model is the one with three pure continental factors (Asia, Europe, and …

deepness' and 'macro liquidity' can indicate development of abnormalities in the financial markets which generally ends up with … instabilities in the real economy. First, the balance between the market deepness and market liquidity is identified using a … liquidity deviations' (MLD) from the 'usual' relationships between the variables. We find that the current and second lag of MLD …