, 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 …

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 …

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 …

frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility …. The informational content of historical and option implied volatilities is generally lower than that of CDS implied …

In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in … liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility … measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity …

, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the … Amihud (2002) measure, for which we provide a theoretical underpinning, is effective in measuring FX illiquidity. Not only do … method to measure FX illiquidity and commonality. For investors, these insights should increase the efficiency of trading and …

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …