Kong, Shenzhen) and Yong Li (University of International Business and Economics).Market liquidity evaporation is often … and stop to provide liquidity of such stocks. Our findings reveal the relationship between attention, panic and market … liquidity spirals …

relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, the relation is strong for the most liquid stocks. The … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

We find that equity option liquidity increases stock price crash risk. This effect is robust to different measures of … option liquidity and crash risk, alternative weighting schemes, option moneyness, and is not spurious due to endogeneity … issues. The option liquidity-stock crash risk causality is also a unique phenomenon, not a manifestation of higher crash risk …

There have been increasingly frequent claims that risk parity strategies are hiding an implicit short volatility … exposure or behave as though they are short volatility. In order to test the veracity of these claims, we simulate stylized … versions of three-asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we …