Guijarro Martinez, Francisco; Moya, Ismael; Saleemi, Jawad - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12
Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty risk is often priced into market liquidity. This study investigates whether microblogging data, as a non-financial information tool, is priced along with market liquidity...