We integrate a market microstructure model with an exchange competition model with entry in which exchanges supply … strategic substitutes or complements in platform competition. Free entry of platforms delivers a superior outcome in terms of … liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or, even better, platform …

, integrating a microstructure model with a free-entry, exchange competition model where exchanges have market power in … technological services. We find that services can be strategic substitutes or complements. Free-entry delivers superior liquidity …

can be computed explicitly, and obeys a clear relation to the liquidity of the asset and to the autocorrelation of the … alpha forecast signals. Indeed, we find that steady-state optimal turnover is given by γ sqrt(n+1) where γ is a liquidity …

including size and book-to-market factors (Fama and French, 1993) as well as both size and liquidity factors of Martinez et al …. Size and especially liquidity effects were found to be pervasive across national industry portfolios which were further …

increases in market-level liquidity have indeed trickled down to individual firms over the last decade of stock market … development in Tunisia, a fast-growing Mediterranean emerging market. We develop time varying liquidity scores for all firms …-level characteristics and risk exposure affect the magnitude and the distribution of liquidity using a set of fixed effect panel regressions …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …