Liquidity is a foundation ... …

We use a novel dataset to examine the impact of exposing institutional orders to electronic liquidity providers (ELPs … liquidity fees on exchanges. This routing decision results in lower net effective spreads for these child orders, but leads to … disallow the broker to route their child-orders to ELPs. Our analysis suggests this cost increase is due to information leakage …

We propose a new approach to model the cost of liquidity based on the synthetic replication of the sale of a liquid … period. The synthetic replication implies that the cost of liquidity should equal the investor's credit spread plus the … annualized liquidity cost that can range from a few basis points for liquid stocks to 60bps for real estate and up to 3% for …

for larger trades and investors are able to reduce costs by timing their transactions. While investors who require …

Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of … industry because of opaque information and sporadic trading activities. We propose to use autocorrelations of return series as …

representative investors to liquidate their wealth in an illiquid asset. We calculate an average liquidity premium to transaction …