We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …

date. Liquidity increases lead to higher stock price changes, which supports the liquidity improvement hypothesis. Further …

impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial …

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility …, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using … data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are …

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …