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 …

transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Further, information asymmetry can help …

. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when … funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns …, and no manager capital co-invested are more likely to take on excessive liquidity risk. These results resonate with the …

Using data from the Lipper/TASS hedge fund database over the period 1994-2011, we examine the impact of liquidity risk … size effect for FOFs. More importantly, once liquidity risk is accounted for, this scale effect is more pronounced among … FOFs with lower liquidity risk. Specifically, for FOFs in the lowest liquidity risk quintile, the largest funds …

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity effects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and …-specific information can be efficiently proxied by measures that use less detailed information. In addition, we analyze liquidity, in …

liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …

market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses … smaller-cap to a larger-cap FTSE index experience a permanent increase in stock price accompanied by improvements in liquidity … accompanied by declines in liquidity. In contrast, firms added to the FTSE SmallCap index that were not previously in FTSE indexes …

We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of … liquidity and ameliorate trading costs improve capital market efficiency …

-taker pricing, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in trading fees … on the Toronto Stock Exchange, we study whether and why the breakdown of trading fees between liquidity demanders and … suppliers matters. Posted quotes adjust after the change in the fee composition, but the transaction costs for liquidity …

Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a … self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity … spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a …