: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

liquidity in dollars kept traders from arbitraging away excess profits. Risk factors, instead, are mostly insignificant …. Liquidity factors involve intermediaries cutting back loans to arbitrageurs in order to shrink their balance sheet, and hoarding … liquidity to cover their own funding strains. In addition, it seems that arbitrageurs themselves had insufficient pledge …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

This paper shows that institutional sell-side herding increased bid-ask spreads and liquidity risk during the 2007 …-8 financial crisis. Such an impact on liquidity is most pronounced in firms with large numbers of institutions that sold the same …-and-hold, investment style to be the least likely to herd; their trading activity did not affect stock market liquidity during the crisis …

I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is … the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized … the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and …

measure) to aggregate different groups of liquidity measures (percent-cost proxies, cost-per-volume proxies, etc.), in order … to accommodate for the ‘different dimensions of liquidity' (Amihud et al., 2005) through a single ‘unified' market …-wide aggregate liquidity metric. The weights for the multiple dimensions are time-varying and depend on three components: the …

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 …

systematic liquidity risk increased by 34%. We find that the trading of a firm's equity by institutional investors increased the … firms' quoted spreads, and led to a higher liquidity commonality during the crisis. Institutional sell-side herding …