This paper explores the extent to which commodity prices can predict GDP growth rates of various countries using indices of 27 commonly traded commodity futures. Commodity returns can strongly predict the next quarter's GDP growth, while the basis shows a reasonable level of predictive power....

Examining the illiquidity premium in stock markets across 45 countries, we find the following. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on...

We find liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. We solve this empirical puzzle by emphasizing the asymmetrical impact of liquidity decrease...

We find that liquidity volatility negatively predicts stock returns in global markets. This relationship holds for different liquidity measures and cannot be explained by the idiosyncratic volatility effect. This puzzle can be explained by the asymmetric impact of liquidity increase and decrease...