-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 …

We study the liquidity exposures of value and growth stocks over business cycles. In worst times, value stocks have … higher liquidity betas than in best times, while the opposite holds for growth stocks. Small value stocks have higher … liquidity exposures than small growth stocks in worst times, while small growth stocks have higher liquidity exposures than …

This study presents and empirically tests a simple framework that examines the effects of market liquidity (the ease … with which stocks are traded) and funding liquidity (the ease with which market participants can obtain funding) on stock … market bubbles. Three key findings emerge from this research. First, negative market and funding liquidity shocks increase …

measures on the stock returns and liquidity of Vietnam-listed companies in the financial services sector. Design … significant negative effects on the stock market returns and liquidity. Nevertheless, the Government’s imposition of lockdown … the stock returns and liquidity of Vietnam-listed companies in the financial services industry. …

The purpose of this paper is to investigate the relationship between liquidity and stock returns in the Vietnam stock … liquidity on stock returns of 656 listed non-financial companies in Vietnam. One notable finding in this study is the … significant and positive influence of market liquidity on stock returns during the COVID-19 outbreak. Simultaneously, during …