costs curves and we find empirical evidences about the "pegging to the current mid-quote" behavior of the liquidity …

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 …

proxy measure used, time variations in illiquidity premia, and the superior performance of liquidity-adjusted model compared …

This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric … in previous re-search, on the prior order history when deciding whether to provide or take liquidity. Our analysis shows …

We consider a program that, by bringing additional liquidity to the equity markets, would benefit market participants …

We examine the relationship between stock market liquidity and the network centrality of firm executives. We find that … liquidity costs. We use an exogenous network centrality shock of executive turnover and report that liquidity improves after … firms hire executives with greater centrality. We present evidence that improved liquidity is attributable to efficient …

We examine the role of algorithmic traders (AT) in liquidity supply and demand in the 30 DAX stocks on the Deutsche … monitor market liquidity than human traders. AT consume liquidity when it is cheap, i.e., when the bid-ask quotes are narrow …, and supply liquidity when it is expensive. When spreads are narrow AT are less likely to submit new orders, less likely to …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

suffer from higher cost of capital. A one standard deviation increase in a stock's liquidity tail index leads to a rise of 30 … extreme liquidity risk and extends to alternative cost-percent liquidity proxies. We further find that this relation is … stronger in periods of down markets and high volatility and is weaker in environments with better information quality and …

-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a … significant relationship between market liquidity and investor sentiment, (ii) shows that market liquidity (illiquidity …) negatively (positively) predicts subsequent market returns, (iii) provides market liquidity based explanation to the …