-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a … significant relationship between market liquidity and investor sentiment, (ii) shows that market liquidity (illiquidity …) negatively (positively) predicts subsequent market returns, (iii) provides market liquidity based explanation to the …

-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees … on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and … suppliers matters. Posted quotes adjust after the change in the fee composition, but the transaction costs for liquidity …

-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees … on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and … suppliers matters. Posted quotes adjust after the change in the fee composition, but the transaction costs for liquidity …

-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees … on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and … suppliers matters. Posted quotes adjust after the change in the fee composition, but the transaction costs for liquidity …

flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the … aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book …-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar …

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 …

liquidity providers (ELPs). Consistent with theoretical predictions, we find reductions in exchange trading fees are passed …

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 …

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be … liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently … available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress …

This paper develops a present value framework that reflects expectations of future changes in liquidity and liquidity … premia. In our framework, a liquidity premium depends explicitly on prices, dividends, costs, and returns. We find that the … liquidity premium for the CRSP market portfolio is significantly priced over short horizons, but its long-horizon evidence is …