2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows, and liquidity. It …, we document substantial common movements in returns, order flows, and liquidity, both on a market-wide basis as well as … on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation …

We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by … find that the option bid-ask spread may be still a good proxy for informed trading, despite of the liquidity searching … traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for …

announcements, the duration-until-next-unsophisticated-order (DUNUO)—a novel unsophisticated liquidity measure—following an …

This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of … the value impact of stock liquidity. This association is robust to various endogeneity tests including a difference … increases the value impact of liquidity by reducing managerial entrenchment, encouraging informed trading, and enhancing pay …

The paper studies relevance of the cross-sided externality between liquidity makers and takers from the two …-sided market perspective. We use exogenous changes in the make/take fee structure, minimum tick-size and technology for liquidity … suppliers and demanders, as experiments to identify cross-sided complementarities between liquidity suppliers and demanders in …

which dealer funding constraints may impair liquidity in two-tiered OTC markets. The key finding is that funding constraints … collective ability to manage inventories and share risk. As a result, funding constraints end up compromising liquidity above and …

This study contains the effects of bid-ask spread, firm size and liquidity against price reversal phenomena at …

We investigate the role of proprietary algorithmic traders (PAT) in facilitating liquidity in a limit order market … reducing the supply of liquidity during stress situations. The presence of faster traders in the market possibly instils the …

We hypothesize that a source of commonality in a stock's liquidity arises from correlated liquidity demand of the stock … in liquidity about twice as large as those for stocks with low mutual fund ownership. Further analysis shows that the … channels for these comovements derive from both common ownership across funds and funds' correlated liquidity shocks. We obtain …

Information arrivals may drive investors to require immediacy, generating sudden liquidity demand across multiple price … levels in limit order books. We document significant intraday changes in stock limit order book characteristics and liquidity … beyond the best levels around scheduled and non-scheduled company announcements. At aggregated level, liquidity beyond the …