are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time …

This study examines the impulse response functions and causality test of stock market returns and market-wide liquidity … causality test results indicate that stock returns and liquidity Granger cause each other. The results of this study offer …

This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces … a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta … performance spread of 4% in the cross-section of mutual funds over the period 1983-2014. Liquidity risk premia based on …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …

degree of liquidity they provide. We provide a stylized model to examine the implications of these costs on dealer behavior … and market liquidity. We use the model to guide an empirical study of the single-name credit default swap (CDS) market …

Employment growth (EG) is likely related to liquidity fundamentals of investment opportunities, firm health, and … information environment. This, in turn, implies that liquidity risk may play a role in explaining the relation between employment … growth and stock returns. We explain the link between employment growth and liquidity risk with a parsimonious model and find …