robust to different liquidity measures and time periods. It holds after controlling for the business cycle, macroeconomic … variables, and the party with House of Representatives and Senate majorities. There is evidence that the liquidity effect is …

This paper examines the effects of bond liquidity on firms' investments. We postulate that bond liquidity increases … variation in liquidity generated by the introduction of TRACE, we find that bond liquidity enables firms to expand capital … expenditures and acquisition activity. Furthermore, by enhancing access to funding, bond liquidity facilitates acquisition …

the mechanical relationship between return co-movement and liquidity, which can be quantified by a power law function and … explained by a liquidity supply model. Three well-documented asymmetries (asymmetric volume, asymmetry in non-market volatility …

and costs of illiquidity along with proposed quantitative adjustments that enable one to compare illiquid investments on a …

Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of … a tool to estimate the transaction costs and illiquidity premium of private assets. This tool can also be used to adjust …

Liquidity is easily perceived but not easily defined in financial markets. In this study, we present a class of … liquidity measures called Proper Liquidity Measures (PLM). We prove that widely used measure such as percent quoted spreads and … the performance of these measures: a) the relationship between liquidity and implied volatility and b) common factors in …

volatility, liquidity risk and liquidity commonality. The measures indicate whether each of our nine investor types persistently … volatility. Liquidity risk is driven by the positive-feedback trades of foreigners and local institutions. Local individuals …’ contrarian trades Granger-cause liquidity commonality. We conclude that persistent trading strategies are important demand …

I study how liquidity information influences banks' liquidity holdings, using the disclosure of bank liquidity coverage … ratio (LCR) mandated for a group of large US banks. While the disclosure rule aims to increase liquidity in the banking … system, I find that non-disclosing banks responded by reducing liquid asset holdings due to the impact of liquidity …