We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

effects from insufficient market liquidity. A typical method to manage these price impact effects is to split a given order …

-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …

average, institutional shareholders are net sellers during share repurchases. After controlling for liquidity provision and … attributed to institutional investors executing liquidity provision strategies, 8% is explained by institutions reacting to the …