We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency and, using it, find a significant non-resiliency premium that ranges from 33 to 57 basis points per month. The...

We consider a program that, by bringing additional liquidity to the equity markets, would benefit market participants, listed companies, an exchange, and the broader economy. Established by an issuer, managed by a third party broker-dealer intermediary, formally structured and maximally...