We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …

We investigate the extent to which the liquidity of listed stocks is affected by the market structure under which … structures tend to associate with lower stock liquidity; and that shifts in broker market structure align with changes in … liquidity over time. Further, broker market structures appear to interact with the provision of services by brokers, such that …

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …

diversification benefits for international investors. However, many stocks in these markets are thinly traded so liquidity is an … important consideration. We investigate which liquidity proxies best measure the actual cost of trading in 19 frontier markets … with liquidity benchmarks, while the FHT measure provides the best measure of the magnitude of actual transaction costs …

, driven by arbitrage asymmetry. The latter effect is also reflected in a univariate sort based on liquidity: a negative …. Furthermore, negative liquidity shocks increase overpricing, whereas positive shocks increase underpricing. These results … emphasize the important role of liquidity in explaining the cross-section of expected stock returns …

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

returns in India for the period 2000-2012. Illiquidity premium is more pronounced among winners. Illiquid winners outperform …

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …