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

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We …

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …

We compared forecasts of stock market volatility based on real-time and revised …

capital markets in the past. However, there are some indications for eroding momentum profits. Based on the theory of gradual …

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 …