augmented by size, book to market value, momentum, liquidity and a new investor protection metric based on the product of … two factor CAPM augmented with a factor mimicking portfolio based on the investor protection metric yields the highest …

established liquidity measures in 45 countries for the years 1990–2020. Our findings provide convincing evidence that liquidity … have negligible economic significance. Outside the microcap universe, virtually no liquidity effect can be observed …

, Morocco, Egypt and London. These are used within an augmented CAPM framework to form risk firm illiquidity premiums in …

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

We study economies with multiple assets that are valued both for their return and liquidity. Exchange occurs in …, potentially generating multiple equilibria with different liquidity. We discuss implications for asset pricing and for monetary …

We present a model of financial market liquidity provided by financially constrained intermediaries. We show that … market liquidity increases with the level of intermediary capital. We also characterize conditions under which intermediaries …

Each type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be …. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated … stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity …

exchanges of Tokyo and Osaka while liquidity is the dominant factor in the three regional markets. Costs of equity are very low … high informational or liquidity premium …