liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion … investors, and hence, on equity risk premia and the liquidity premium. …

liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion … investors, and hence, on equity risk premia and the liquidity premium. Three, the effects of transaction costs on quantities … such as the liquidity premium are overestimated in partial equilibrium relative to general equilibrium. …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

We use a novel dataset to examine the impact of exposing institutional orders to electronic liquidity providers (ELPs … liquidity fees on exchanges. This routing decision results in lower net effective spreads for these child orders, but leads to …

finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity … dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. …

We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a … large cross-section of currencies. First, we show that FX liquidity can be accurately measured with daily and readily …-available data. Second, we demonstrate that FX liquidity declines with funding constraints and global risk, supporting theoretical …

We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically …, we investigate whether fee rebates for liquidity providers enhance liquidity on the introducing market and thereby … increase its competitiveness and market share. Further, we analyze whether single-market liquidity provider incentives increase …

Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the … low costs of transaction. Providing a rigorous and empirically relevant definition of market liquidity has, however … estimating the market liquidity of assets. We consider definitions that stress the role of the bid-ask spread and the estimation …

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be … liquidity has, however, provided to be a difficult task. This paper provides a critical review of the frameworks currently … available for modelling and estimating the market liquidity of stocks. We discuss definitions of market liquidity that stress …