We study the effect of innovations in liquidity on stock-return volatility under the return-decomposition framework. Using revisions to equity analyst consensus forecasts to measure cash-flow news directly, we contend that both cash-flow news and expected return news correlate with liquidity...

This research studies the effects of macroeconomic factors on liquidity, focusing on the pricing of liquidity. By applying cross-sectional tests, we obtain the monthly price of liquidity. Overall, the results show that the growth rate in industrial production has significant contemporaneous...

In this research, we investigate the effects of changes in and levels of selected macroeconomic variables on the liquidity of REIT stocks. We study in particular REIT market trading liquidity and REIT funding liquidity. We use debt service coverage ratios, loan-to-value ratios and the number of...

In this research, we investigate the effects of changes in and levels of selected macroeconomic variables on the liquidity of Real Estate Investment Trust (REIT, henceforth) stocks. We study in particular REIT market trading liquidity and REIT funding liquidity. We use debt service coverage...

When liquidity providers for one asset obtain information from other asset prices, this may magnify the (upward or downward) comovement of asset liquidity. It also may yield an illiquidity multiplier. We empirically test the magnitude of this illiquidity multiplier for a sample of U.S. equity...