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Chapter 19. Market Liquidity—Theory and Empirical Evidence

Vayanos, Dimitri; Wang, Jiang - 2013

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures … basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …

Persistent link: https://www.econbiz.de/10014025359

Liquidity, Trade, and Investor-Identity Disclosure

Verrecchia, Robert E.; Zhu, Christina - 2022

This study tests whether disclosing a trader's identity dampens or stimulates subsequent trading volume based on the trader's reputation for being informed. While a reputation for being informed makes markets less liquid, thus inhibiting subsequent trade ("illiquidity effect"), the information...

Persistent link: https://www.econbiz.de/10013298823

Disclosure Processing Costs, Investors’ Information Choice, and Equity Market Outcomes : A Review

Blankespoor, Elizabeth - 2020

This paper reviews the literature examining how costs of monitoring for, acquiring, and analyzing firm disclosures – collectively, “disclosure processing costs” – affect investor information choices, trades, and market outcomes. The existence of disclosure processing costs means that...

Persistent link: https://www.econbiz.de/10012847855

A Behavioural Theory of Single Period Collective Action : A Proposed Framework for #MeToo and Stock Market Dynamics

Mehta, Deep - 2020

In institutional frameworks comprising of n2 agents, there are often aspects of the institution or specific exchanges or entities within the institution that require to be changed. Carrying out such a change involves a game of co-ordination between the agents who wish to make it and they can...

Persistent link: https://www.econbiz.de/10014031937

A detrimental feedback loop : deleveraging and adverse selection

Bertsch, Christoph - 2013

' long-term leverage choices and an "interim" inefficiency because it distorts agents' short-term liquidity management. I …

Persistent link: https://www.econbiz.de/10010202960

Chinese Real Estate Market Performance : Stock Market Linkages, Liquidity Pressures, and Inflationary Effects

Burdekin, Richard C. K. - 2012

liquidity and lending rates along with evidence of co-determination of stock prices and housing prices. House price inflation …

Persistent link: https://www.econbiz.de/10013101013

Chinese Real Estate Market Performance : Stock Market Linkages, Liquidity Pressures, and Inflationary Effects

Burdekin, Richard C. K. - 2013

liquidity and lending rates along with evidence of co-determination of stock prices and housing prices. House price inflation …

Persistent link: https://www.econbiz.de/10013086063

Stock Market Liquidity and the Macroeconomy : Evidence from Japan

Choi, Woon Gyu; Cook, David E. - 2021

price. We document a steep drop in the liquidity of the Japanese stock market in the post-bubble period and a steep rise in … liquidity risk. We find that, during Japan's deflationary period, firms with more liquid balance sheets were less exposed to … stock market liquidity risk, while slowly growing firms were highly exposed to liquidity shocks. Also, aggregate liquidity …

Persistent link: https://www.econbiz.de/10013318099

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

Equilibrium effects of intraday order-splitting benchmarks

Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. - In: Mathematics and financial economics 15 (2021) 2, pp. 315-352

Persistent link: https://www.econbiz.de/10012500028