We examine portfolio trading and its impact on corporate bond liquidity. Our theoretical framework identifies how … trading is generally beneficial to bond market liquidity, particularly so for riskier and illiquid bonds. However, we also … show that these positive benefits do not always arise, and that it becomes a costly solution for liquidity provision when …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

Purpose: The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the … liquidity in asset pricing. Design/methodology/approach: The authors propose and compare two alternative implications of … liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior …

This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric … in previous re-search, on the prior order history when deciding whether to provide or take liquidity. Our analysis shows …

this association is driven by individual investors who play the role as liquidity providers. We further document that the …

We investigate, for limit order book equity markets, how trading, liquidity provision, and the overall market quality … in one security are influenced by correlated inventory risk exposures of liquidity providers to other securities in their …

increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …

, consistent with theoretical models in which binding capital constraints lead to liquidity dry-ups, an overnight decline in the …. Moreover, I show that market liquidity of volatile stocks further deteriorates following an overnight market decline, which …

assets with identical fundamentals. Liquidity between the two assets diverges endogenously in a self-reinforcing manner as … trading gains. Using an identification strategy that exploits same-issuer bonds but with differing liquidity, we confirm these …