Cross-sectional models positively relate firm information disclosure with stock liquidity, but dynamic models in news releases days show an opposite relation. We address this puzzle by studying the effects of information arrival on liquidity and its determinants. We use trade and quote data from...

Studying Foreign flows and the liquidity of six Asian markets we provide evidence of two empirical regularities: On the one hand, foreign trade has a negative but transitory impact on the overall liquidity of the market on a daily basis. This finding is shown consistent with two hypotheses: that...

We study the spillover effect from equity offerings over dual-class shares. Whereas, evidence has been found that a seasoned equity offering improves stock liquidity, the effect over the liquidity of different type shares of the same firm has not been explored. We use equity offer- ings of five...

Market microstructure models imply that informed trading reduces liquidity. We test for the effect of the frequency of new releases, as a proxy of information arrival, on liquidity in the Chilean stock market. We find that news release frequency is strongly related to improved liquidity. Those...