differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …

2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows, and liquidity. It …, we document substantial common movements in returns, order flows, and liquidity, both on a market-wide basis as well as … on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation …

basket of securities (i.e., positive relative liquidity), are particularly attractive to investors. Using three definitions … of liquidity, we find that relative liquidity predicts net fund flows, as well as inflows and outflows positively and … significantly. We further document a liquidity clientele amongst institutional investors: i) relative liquidity is significantly …

variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and …

We empirically tests whether stock liquidity and investor sentiment have interactive effects on seasoned equity offers …

measures on the stock returns and liquidity of Vietnam-listed companies in the financial services sector. Design … significant negative effects on the stock market returns and liquidity. Nevertheless, the Government’s imposition of lockdown … the stock returns and liquidity of Vietnam-listed companies in the financial services industry. …

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …