We first show that liquidity, as measured by stock turnover or trading volume, is an economically significant … Strategy, an Earnings-Based Liquidity Strategy, and a Market Cap-Based Liquidity Strategy. Our backtest research shows that the … Earnings-Based Liquidity Strategy offers the highest return and the best risk-return trade-off, while the Volume Weighted …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

We construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and … tightness. We derive a wealth equation and a characterization of illiquidity costs. We show that we can separate liquidity costs …)). Furthermore, we show that in limiting cases for some parameters of the model, we derive many existing liquidity models present in …

Financial crises are often characterized by sharp reductions in liquidity followed by cascades of falling prices …. Researchers are making progress in work to understand the levels of liquidity on a daily basis, but understanding the … vulnerability of liquidity to market shocks remains a challenge. We develop an agent-based model with the objective of evaluating …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

marketplace such as a supermarket or a stock exchange with adequate liquidity. Further, people must have confidence that such a … well-functioning marketplace will also exist in the future. Market liquidity risk is the risk that the market will function … effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises …