. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk …-complementing the authorities' work-we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii …

market liquidity effects. It uses a unique data set that combines a number of recurring event types. After controlling for … other seasonal factors, liquidity is lower prior to quarter ends, which is attributed to market makers' window dressing …. Seasonal liquidity effects are smaller in case investors can bypass secondary market venues, and market sentiment influences …

The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil … and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS, one of … Europe's leading electronic fixed-income trading platforms. We document flight-to-liquidity effects as investors prefer to …

This paper examines dealer inventory capacity, or liquidity supply, as a driver of liquidity and expected returns in … the corporate bond market. We identify shocks to aggregate liquidity supply using data on corporate bond yields and dealer … positions. Liquidity supply shocks lead to persistent changes in market liquidity, are correlated with proxies for dealer …

This paper examines the effects of bond liquidity on firms' investments. We postulate that bond liquidity increases … variation in liquidity generated by the introduction of TRACE, we find that bond liquidity enables firms to expand capital … expenditures and acquisition activity. Furthermore, by enhancing access to funding, bond liquidity facilitates acquisition …

This paper measures the time-varying provision of liquidity by buy-side customers (e.g., mutual funds and pension funds … simple theory model, shocks to the relative willingness of customers and bond dealers to provide liquidity affect, in … events, such as exposing the increased role of buy-side customers for liquidity provision after the many regulatory changes …

The likelihood of severe contractions in an asset's liquidity can feed back to the ex ante risks faced by the … individual providers of such liquidity. These self-reinforcing effects can spread to other assets through informational … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …

This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury … bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS … (nominal Treasury) excess returns. The explanatory power of the TIPS liquidity premium is statistically significant and …