This paper shows how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple … market liquidity between securities linked by arbitrage. I test these hypotheses on Canadian stocks cross-listed in the …

quality and price efficiency. For German large-cap stocks we find excess liquidity demand around MA signals and high limit … increase of a larger magnitude. This suggests that liquidity demand in direction of the signal leads to persistent price …

We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature …

We use proprietary transactional data to examine the determinants of liquidity in the UK government bond (gilt) market …-zone sovereign debt crisis. During this period, gilt market liquidity fluctuates significantly with execution costs almost doubling … at the peak of the crisis. Consistent with theory, dealer balance sheet constraints and increased funding costs are …

place within 15 (60) seconds. Net profits to liquidity provision, or equivalently, net costs to liquidity demanders, decline …

from those induced by liquidity trading. We show a simple strategy that uses high-option-illiquidity stocks and yields 16 …

In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show … that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for … Schultz (2012), we find that the liquidity-adjusted CCAPM explains a larger fraction of the cross-sectional return variations …

In this paper, we propose a liquidity risk adjustment to the Epstein and Zin (1989, 1991) model and assess the adjusted … model's performance against the traditional consumption pricing models. We show that liquidity is a significant risk factor … and it adds considerable explanatory power to the model. The liquidity-adjusted model produces both a higher cross …

We investigate how informational frictions affect trading in decentralized markets in theory and in a laboratory …