We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …

are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time …

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …

-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns … liquidity predicts declining stock prices …

This paper examines the effects of public news releases on the market liquidity in one of the most important OTC … quotes is larger, and the number of dealers is greater. Earnings announcements have particularly strong effects on liquidity … days and reverts to normal levels several days after news releases. Finally, the effect of news on liquidity is stronger …

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