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 …

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 …

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 construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and … tightness. We derive a wealth equation and a characterization of illiquidity costs. We show that we can separate liquidity costs …)). Furthermore, we show that in limiting cases for some parameters of the model, we derive many existing liquidity models present in …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

We examine whether commonality in liquidity arises from style investing. We sort stocks into styles along widely …-used size and growth dimensions, and show that style-related commonality in liquidity is significant, dominates commonality in … liquidity with the rest of the market, and has more than doubled in the last decade, when style investing has become prominent …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

market risk, whereas the second term can be interpreted as a required compensation for a form of liquidity risk. This … required compensation for liquidity risk increases linearly with the covariance between the proportion invested illiquid in the …

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 …

, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …