We first show that liquidity, as measured by stock turnover or trading volume, is an economically significant … Strategy, an Earnings-Based Liquidity Strategy, and a Market Cap-Based Liquidity Strategy. Our backtest research shows that the … Earnings-Based Liquidity Strategy offers the highest return and the best risk-return trade-off, while the Volume Weighted …

naturally on liquidity: When expected future liquidity is high, agents take more extreme positions, given that they do not have … with more frequent trading. Liquidity need not affect the price significantly, however, because liquidity has offsetting …

costs. The model proposed in this paper permits a liquidity premium much bigger than those found by most empirical … literature. Our liquidity premium is much bigger when using reasonably-calibrated parameters, so transaction costs can have a … for a puzzling feature of economic crises, where liquidity was greatly reduced in the financial market. Our model shows …

We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor … liquidity premium while pro-cyclical dividends amplify this effect. More importantly, we observe that cash dividends can no … longer play a role as a liquidity provider if the volatility of pro-cyclical dividends increases. Our model provides a …

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 …

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 …