This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and … persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six … months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more …

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility …, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using … data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are …

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …

2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows, and liquidity. It …, we document substantial common movements in returns, order flows, and liquidity, both on a market-wide basis as well as … on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation …

This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of … the value impact of stock liquidity. This association is robust to various endogeneity tests including a difference … increases the value impact of liquidity by reducing managerial entrenchment, encouraging informed trading, and enhancing pay …