asymmetric information and risk. Ellul and Pagano (2006) first linked the underpricing with liquidity proxies like liquidity risk … and effective spread. In this paper I propose a different liquidity based framework which compares an IPO to a large sell …-initiated block trade, and the underpricing to the price pressure effect of the trade itself, which means the price for the liquidity …

liquidity can account for the observed stock price reaction around lockup expiration. Specifically, firms which show improvement … in liquidity subsequent to the unlock day experience positive abnormal returns in the post-expiration period, and vice … versa.Another interesting finding is that liquidity changes strongly predict long-term abnormal returns as well as …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

costs. We find that failures to deliver are associated with greater liquidity, especially for IPOs likely to receive … underwriter price support. However, contrary to prior research that finds that short selling is associated with greater liquidity …, we find that short selling is negatively correlated with liquidity for IPO stocks with strong investor demand …

We investigate the extent to which the liquidity of listed stocks is affected by the market structure under which … structures tend to associate with lower stock liquidity; and that shifts in broker market structure align with changes in … liquidity over time. Further, broker market structures appear to interact with the provision of services by brokers, such that …

This paper studies the impact of expected issuance fees on market liquidity in the Euro-area government bond market … market. Primary dealers have the incentive to increase liquidity due to competition for issuance fees because lead managers … are selected based on their liquidity provision in the secondary market. We find that the expected issuance fee is …

This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset …-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which … funds and investors just break even, equilibrium liquidity premia are defined as the risk-adjusted excess returns that fund …