This paper examines the effects of public news releases on the market liquidity in one of the most important OTC … quotes is larger, and the number of dealers is greater. Earnings announcements have particularly strong effects on liquidity … days and reverts to normal levels several days after news releases. Finally, the effect of news on liquidity is stronger …

We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for …, respectively. Our results suggest that ETFs reduce investors' ability to diversify liquidity risk. …

execute market orders at limit order prices and without incurring any liquidity costs themselves. The second is by "front …

, 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 …

on liquidity in an attempt to explain the coexistence of evidence regarding both the positive and the negative impacts of … shocks, through which HFT trading patterns may sharply change. Latter regards the certain characteristics of HFT liquidity …

We find that stock liquidity increases stock price crash risk. To identify the causal effect, we use the decimalization … of stock trading as an exogenous shock to liquidity. This effect is increasing in a firm’s ownership by transient … accompanied by greater selling by transient investors, but not blockholders. Our results suggest that liquidity induces managers …

This paper investigates whether markets for individual stocks lose liquidity when uninformed investors are given … held by exchange-traded funds (ETFs) and illiquidity in the market for the underlying stocks. This liquidity deprivation is …-level liquidity relates to diversification when liquidity dynamically flows between a portfolio and its underlying stocks …

turmoil. To achieve this, we examine the liquidity and crash risk of stocks that are likely held by Robinhood traders (i …. During the COVID-19 pandemic, we find that stocks likely held by retail investors have 17 percent higher liquidity and at …