We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

Purpose: The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the … liquidity in asset pricing. Design/methodology/approach: The authors propose and compare two alternative implications of … liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior …

This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric … in previous re-search, on the prior order history when deciding whether to provide or take liquidity. Our analysis shows …

this association is driven by individual investors who play the role as liquidity providers. We further document that the …

We investigate, for limit order book equity markets, how trading, liquidity provision, and the overall market quality … in one security are influenced by correlated inventory risk exposures of liquidity providers to other securities in their …

state variables: stock price and hard-to-observe pricing accuracy (or liquidity). Invariance makes predictions operational … endogenously derived stochastic volatility. Returns volatility, pricing accuracy, liquidity, and market resiliency are connected by …