Liquidity providers (LPs) on decentralized exchanges (DEXs) can protect themselves from adverse selection risk by updating their positions more frequently. However, repositioning is costly, because LPs have to pay gas fees for each update. We analyze the causal relation between repositioning and...

In this paper we provide an operational definition of market and funding liquidity, and we introduce a method to create two interpretable liquidity measures, which we associate to these two types of liquidity. The construction is based on creating two parsimonious linear combinations of the many...

This paper studies the effect of stock liquidity on blockholder governance. Conditional upon acquiring a stake, liquidity reduces the likelihood that a blockholder governs through voice (intervention) – as shown by the greater propensity to file Schedule 13Gs (passive investment) than 13Ds...

Security indices are central to modern finance. Because corporate bonds trade infrequently – often less than once a month – corporate bond indices cannot rely exclusively on real time prices, and must instead estimate the value of the market portfolio. While commercial indices do this using...

We investigate the role of proprietary algorithmic traders (PAT) in facilitating liquidity in a limit order market. Using the order level data from NSE of India, we find that they increase limit order supply following periods of high short-term stock-specific volatility, periods of high...

I find that market accessibility ex ante plays an important role in how the underlying assets' liquidity changes when a basket security is introduced. First, using a multi-market version of the Kyle model, I show that the less (more) accessible the underlying market is, the more its liquidity...

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order market. We find that they rarely use liquidity removing market orders. Their ability to affect the bid-ask spread with order cancellation rates is maximum among three mutually...

An ability to postpone one's execution without penalty provides an important strategic advantage in high-frequency trading. To elucidate competition between traders one has to formulate to a quantitative theory of formation of the execution price from market expectations and quotes. This theory...

We develop a new measure for the probability of informed trading, called PCP. Using double-sorted portfolios, we find that excess returns increase from low to high PCP portfolios. In regression analysis, the effect of PCP on returns is significantly positive after controlling for illiquidity...

Market makers are key entities providing liquidity to the market. Their activity has influence on transaction costs that are expressed mainly by bid-ask spreads. On unregulated markets a research is quite often cumbersome due to lack of transparent data. The paper presents factors having...