preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …

of liquidity, risk, signaling and ideal price range explanations that could justify the sizeable cumulative abnormal …, however, that liquidity reasons do not seem to be sufficient to explain the observed abnormal returns around the ex-date. A … directed at splitting firm. This confirmed that liquidity increases were indeed one of the main objectives pretended by the …

The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory …

changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …

: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

and liquidity are robust to different ways of categorizing value and growth stocks used in the existing literature …

This paper presents a study of intra-day patterns of stock market activity and introduces duration based activity …, transaction volumes and prices, and can be interpreted as liquidity measures. This approach allows us to highlight the intra …-day variations of liquidity, its costs and volatility, and to develop a liquidity based asset ordering. The extension to a …

liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically …