-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 …

This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the … valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More … importantly, our study shows that asset liquidity plays a more significant role in resolving valuation uncertainty in countries …

execute market orders at limit order prices and without incurring any liquidity costs themselves. The second is by "front …

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 …

Across multiple measures of “liquidity” and a variety of methods to control for correlated characteristics of more … (less) liquid bonds, we find only limited evidence of a liquidity premium in the cross section of corporate bonds …

This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices … impediments are absent, abnormal returns persist. Using a new measure of liquidity, we find that liquidity is economically and …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … market, and the period in between, when market conditions were more normal.We employ a wide range of liquidity measures and …