Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of … immediacy because it does not account for failed attempts to trade. The true cost of immediacy is substantially higher than the …

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

This paper measures the time-varying provision of liquidity by buy-side customers (e.g., mutual funds and pension funds … simple theory model, shocks to the relative willingness of customers and bond dealers to provide liquidity affect, in … events, such as exposing the increased role of buy-side customers for liquidity provision after the many regulatory changes …

initial underpricing and higher liquidity: New bonds generally have lower yields than seasoned benchmarks, and average … benchmark-adjusted returns form a humped pattern by horizon. We then test whether liquidity effects in bonds are linked to … issuers' equity liquidity. Generally, we find that equity and bond illiquidity are linked at the firm level, and that equity …

asymmetric information and risk. Ellul and Pagano (2006) first linked the underpricing with liquidity proxies like liquidity risk … and effective spread. In this paper I propose a different liquidity based framework which compares an IPO to a large sell …-initiated block trade, and the underpricing to the price pressure effect of the trade itself, which means the price for the liquidity …

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 …

benefits liquidity-consuming customers, as dealers penalize liquidity takers more than the electronic trading channel. Contrary … to expectations, at the onset of the Covid-19 crisis the costs for liquidity takers selling bonds electronically inverted … transparent order book. Volumes in electronic C-to-C trading are more driven by orders wherein the liquidity-consuming party is …

finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity … dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. …

provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …

(resp. low). However the quality of this signal and market liquidity are different in each market design. We test these …