Larger bonds offer greater liquidity, which should reduce their yields. A simple way for firms to reduce financing … suggests that the beneficial aspects of greater liquidity are counter-balanced by the negative effects of price pressure. This …

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in … evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study … aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen …

returns in India for the period 2000-2012. Illiquidity premium is more pronounced among winners. Illiquid winners outperform …

Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …

equilibrium liquidity provision from equity and bond dealers and non-monotonic stock-bond price comovement. We find supportive …