We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor … liquidity premium while procyclical 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 investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor … liquidity premium while procyclical 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 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 …