We find that the stock-level liquidity shock bears information about the firm's future fundamentals. Firms with improving (deteriorating) liquidity reveal better (worse) future fundamentals following the liquidity shock. The finding explains the predictability of liquidity shocks on future stock...

In this paper, we revisit the day-of-the-week effect by examining the Taiwan stock market. Based on the daily data from 1991 to 2008, our results show that the Taiwan stock market exhibits a strong day-of-the-week effect. In particular, the return on Tuesday is negative and significant from 1991...