This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …

to relax a liquidity constraint. The dual nature of equity in the search-and-matching market entails a strategic … complementary in search operating through buyers' liquidity constraint, and it gives rise to endogenous booms and busts. The economy …

flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the … aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book …-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar …

market liquidity, even after controlling the shares of different investor types. First, we provide evidence that there is … affects liquidity and price dynamics in illiquid asset markets …

The paper shows that issuing activity does not result in superior liquidity. Even the kinds of new issues that are … existing liquidity-based explanations of the new issues puzzle. The paper also shows that the low-minus-high turnover factor …

Purpose - This study aims to explore the impact of systematic liquidity risk on the averaged cross-sectional equity … volatility of the equity market. Design/methodology/approach - The present study employs the Liquidity Adjusted Capital Asset … Pricing Model (LCAPM) for pricing systematic liquidity risk using the Fama & MacBeth cross-sectional regression model in the …

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 …