has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We …

and idiosyncratic volatility arises because of biases in volatility estimates that we can attribute to the bid-ask bounce … in trade prices. We show that no significant relation exists between mean returns and idiosyncratic volatility estimated …-price based idiosyncratic volatility that is orthogonal to bid-ask spreads. The pricing of idiosyncratic volatility is due to the …

for the liquidity costs on the estimation of idiosyncratic volatility diminishes to insignificance the ability of … idiosyncratic volatility estimates to predict future returns. We confirm our findings by examining external shocks to liquidity, due … in the pricing ability of idiosyncratic volatility. Finally, minimizing liquidity's influence on the estimated …