security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large … number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …