We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …

We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950 …-2013 period. We find that firms after foreign market listing exhibit lower liquidity sensitivity, lower liquidity beta, and suffer … more liquid markets. The liquidity enhancement is associated with firms' increased foreign ownership post-listing and is …

We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity …. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly … of market-making participants benefit market liquidity …

I study how arbitrage affects liquidity by analyzing several billion trades in the AmericanDepositary Receipt (ADR …. Overall, these results suggest that arbitrage decreases price pressure and provides liquidity …

limit order markets with fast and slow traders. Only the fast traders can access the liquidity of both venues simultaneously …. Empirically, we confirm the predictions that the fraction of fast traders (i) reduces the equilibrium liquidity supply and (ii …

Market makers are key entities providing liquidity to the market. Their activity has influence on transaction costs …

This paper studies the impact of contracted market makers by investigating the liquidity provider scheme in Sweden. The … results show that the stocks become more liquid after the introduction of the contracted market makers. The liquidity … scheme and function as contracted market makers, whose trading behavior contribute to documented liquidity improvement. After …

suffer from higher cost of capital. A one standard deviation increase in a stock's liquidity tail index leads to a rise of 30 … extreme liquidity risk and extends to alternative cost-percent liquidity proxies. We further find that this relation is …

, driven by arbitrage asymmetry. The latter effect is also reflected in a univariate sort based on liquidity: a negative …. Furthermore, negative liquidity shocks increase overpricing, whereas positive shocks increase underpricing. These results … emphasize the important role of liquidity in explaining the cross-section of expected stock returns …

The paper explores various aspects of Italian listed Exchange Traded Funds (ETFs) liquidity. Current risk management … tools, particularly the most common Value at Risk (VaR) measures, do not capture the liquidity component of market risk … satisfactorily. We propose to calculate an indicator for monitoring market liquidity of a sample of ETFs, by using bid-ask spreads …