This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

We study the conditional distribution of future liquidity in the secondary market for corporate bonds as a function of … current liquidity. Increases in liquidity are persistent for investment-grade bonds and flighty for high-yield bonds. Greater … liquidity of high-yield bonds is associated with lower uncertainty about future liquidity of investment-grade bonds, but greater …

We employ a proprietary transaction-level dataset in Germany to examine how capital requirements affect the liquidity … gap - aggregate liquidity declines. Our results are stronger for banks with a higher capital shortfall, for noninvestment …

puzzling positive link between PEAD and liquidity using a stylized model where investors agree to disagree. Empirical evidence …

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 studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …

This paper studies how over-the-counter (OTC) market liquidity was adversely affected by the collapse of securities … on corporate bond market liquidity. We show that the collapse of AIG's securities lending programs in 2008 caused a … substantial and long-lasting reduction in the market liquidity of the corporate bonds that were predominantly held by AIG, even …

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …