This paper examines the effects of public news releases on the market liquidity in one of the most important OTC … derivatives markets — the CDS market. We document that, at the time of news releases, the bid-ask spread is wider, the number of … quotes is larger, and the number of dealers is greater. Earnings announcements have particularly strong effects on liquidity …

liquidity provision. However, in this paper, we find that intraday reversal has no significant dependence on stock liquidity for … results confirm this liquidity oversupply explanation. The negative correlation between previous intraday returns and future … due to excessive liquidity provision from uninformed retail traders instead of a price correction from a temporary price …

, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts … illiquidity measure outperforms standard measures and we find illiquidity premia rise as trading costs diverge …

Previous studies find as the VIX goes up, the return and the Sharpe ratio on liquidity provision increase. We argue … for providing liquidity, (2) when assets are volatile, liquidity shocks create stronger trading demands and thus liquidity … demanders pay a higher premium, and (3) when assets are highly correlated, the higher risk of spillover of liquidity shocks …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange … constrained Pareto efficiency-due to price pressure which average 0.35 basis points of the value traded. -- Liquidity ; Inventory …

: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price … impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular … PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market …

: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price … impact of liquidity trades is higher in the presence of the HFTs and is increasing with the size of the trade. In particular … PTs lose revenue in every trade intermediated by HFTs, they are compensated with a higher liquidity discount in the market …

captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads …

Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market … liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic … conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long …

execute market orders at limit order prices and without incurring any liquidity costs themselves. The second is by "front …