Lou and Sadka (2011) examine the effect of stock liquidity characteristics on stock performance during the 2008 …-2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis …. Lou and Sadka (2011) measure liquidity via Amihud’s (2002) illiquidity measure. I construct a new measure of illiquidity …

the liquidity of the firm's stock. Greater liquidity increases the likelihood of the large investor selling her block … instead of intervening. Thus, blocks are inherently fragile and higher liquidity can be harmful for governance. Empirical … tests using three distinct sources of exogenous variation in liquidity and four proxies for blockholder activism confirm …

This paper examines a number of widely used liquidity measures to assess the consistency and reliability of the … measures across different liquidity scenarios. A review is conducted of the various measures (based on Gabrielsen, Marzo and … Zagaglia, 2011). This paper expands upon their review, by simulating liquidity scenarios using TraderEx software and comparing …

amplification of equity losses due to funding costs which arise from liquidity needs. The approach described in this study provides …. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive …

borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded …