We introduce a methodology to obtain friction-free estimates of Barclay and Warner's (1993) Weighted Price Contribution (WPC). With this new approach, we verify recent simulation results suggesting that trading frictions may severely bias the WPC approach. We use high frequency data from a...

We show that illiquidity risk matters for asset pricing independently of the specific functional form of the liquidity-based asset pricing model. Employing a non-parametric model-free stochastic discount factor (SDF), estimated using different sets of portfolio returns coming from both the stock...

Madhavan (1992,The Journal of Finance, 47, 2, 607-641) recommends a temporary switch to a call auction rather than a trading halt in times of market stress. He predicts the call auction to aggregate information more efficiently and to facilitate the resumption of the continuous session. In this...

We study if VPIN (Easley, López de Prado, and O'Hara, 2012, Review of Financial Studies 25, 1457-1493) is an efficient advance indicator of toxicity-induced liquidity crises and related sharp price movements. We find that high VPIN readings rarely signal abnormal illiquidity, and very...

We evaluate a stock specific circuit breaker mechanism implemented in several European stock exchanges, which consists of a short-lived call auction triggered by intraday stock-specific price limits. This switching mechanism differs from the previously studied US trading halts in that it is...