This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat … futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market … than in the open outcry market. A new approach is used to estimate liquidity costs which eliminates bias resulting from …

We study equilibrium trading strategies, market liquidity, and price efficiency in an economy in which a fraction of … lower and (because of procyclical subjective loss probabilities)countercyclical adverse selection-based market liquidity and … public news aboutthe traded asset’s terminal payoff improves market liquidity and price efficiency and makes such improvement …

This paper investigates the relationship between annual report disclosure, market liquidity, and capital cost for firms … of Disclosure (AIMD). Results show that annual report disclosure enhances market liquidity by changing investors …

This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is … liquidity in the valuation process. Moreover, market liquidity, a measure of investors. willingness to commit resources in the … failure to include a liquidity proxy could underestimate the implied autonomous credit risk. Autonomous credit risk is defined …

liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based … empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity …

synthetic liquidity indicator that summarises the data on a broad set of market liquidity measures both for sovereign and … corporate fixed income markets in the US. Our index is based on 17 variables that cover the main dimensions of market liquidity …. The methodology used to calculate the index consists of two steps. First, a transformation of the individual liquidity …