liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

We examine the liquidity provision premium in cryptocurrency markets using the returns from the short reversal strategy … innovations of Tether liquidity can predict the returns from liquidity provision. The forecast power is also significant in out …

the cryptocurrency market. Using high-frequency price data on Bitcoin from March 3, 2013, to May 31, 2020, it shows that … release, liquidity levels, and the outbreak of the COVID-19. Intraday return predictability is also found in other actively …

We analyze the relationship between implied volatility and subsequent equity markets excess returns. We find that high … readings of implied volatility have a strong correlation with positive and economically sizable returns in the subsequent 1, 5 … volatility instead of the implied volatility of at-the-money straddles …

We investigate whether the effect of liquidity on equity returns can be attributed to the liquidity level, as a stock … characteristic, or a market wide systematic liquidity risk. We develop a CAPM liquidity-augmented risk model and test the … characteristic hypothesis against the systematic risk hypothesis for the liquidity effect. We find that the two-factor systematic …