Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety … liquidity. Our infinite-horizon example produces short, dramatic decreases in liquidity even though the underlying environment …

We study the determinants of liquidity and price differentials between on-the-run and off-the-run U.S. Treasury bond …/on-the-run liquidity differentials are larger for bonds of shorter maturity, immediately following bond auction dates, when the uncertainty … of these shocks on both off/on-the-run price and liquidity differentials in the presence of two realistic market …

We study the impact of outright (i.e., permanent) Open Market Operations (POMOs) by the Federal Reserve Bank of New … parsimonious model of speculative trading in the presence of a stylized Central Bank targeting the price of the traded asset … equilibrium market liquidity, and that the magnitudeof this effect is sensitive to the market’s information environment. We test …

partially explained the performance of neglected firms. Neglect and price may be proxies for the liquidity of each firm's stock …, and the higher observed returns may actually be a premium for the lack of liquidity. This paper compares two definitions … of neglect and their relationship with liquidity. When neglect is measured by the number of analysts following a stock …

Liquidity costs in futures markets are not observed directly because bids and offers occur in an open outcry pit and … cost- and risk-reducing strategies may exist. Liquidity costs are highest when larger volumes are traded at distant … month when the liquidity risk is also higher. For both markets this coincides with periods of low volume. For the nearby …

leverage is both an economically and statistically significant determinant of bond and CDS spreads, and its role increases with … bond issues. I find that fraud announcements trigger swift, sharp, and long lasting credit rating downgrades and are … associated with significant declines in bondholder wealth. An examination of new bond issues confirms a significant increase in …

This paper investigates the effect of the introduction of exchange-traded funds (ETFs) on the liquidity of individual …