We derive the theoretical result that the existence of a secondary market increases primary market liquidity in the form of lower effective spreads and higher issuance quantities. The same intuition suggests a shorter funding time. Using intraday peer-to-peer issuance data, we find that the...

We develop two new methods for matching trades and bid-ask quotes that account for information latency in the era of fast trading. The first method adjusts for exchange-to-SIP latency. The second method constructs exchanges' Relative Best Bid and Offer (RBBO) based on exchange-to-exchange...

I develop new spread proxies that pick up on three attributes of the low-frequency (daily) data: (1) price clustering, (2) serial price covariance accounting for midpoint prices on no-trade days, and (3) the quoted spread that is available on no-trade days. I develop and empirically test two...

Given the key role of liquidity in finance research, identifying high quality proxies based on daily (as opposed to intraday) data would permit liquidity to be studied over relatively long timeframes and across many countries. Using new measures and widely employed measures in the literature, we...