basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …

systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity …

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF …-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as … because some large liquidity traders exit the underlying stocks’ market for the ETF market. Some statistics suggest that those …

, transaction volumes and prices, and can be interpreted as liquidity measures. This approach allows us to highlight the intra …-day variations of liquidity, its costs and volatility, and to develop a liquidity based asset ordering. The extension to a … multivariate analysis yields new insights into the dynamics of portfolio liquidity by revealing various aspects of asset …

momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in … practice by a large institutional investor, facing a lack of liquidity, restrictions onforeign ownership and substantial … liquidity ofthe strategies. Instead, based on the developments of earnings and earnings revisions afterportfolio formation, we …

higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …

-listed equities, this article compares global and local liquidity before and after MiFID and investigates how liquidity relates to … market fragmentation and internalization. Market fragmentation is found to improve global and local liquidity, with spreads … stocks. Further, internalization is not proved to be detrimental for liquidity. …

-listed equities, this article compares the consolidated liquidity of competing markets, also called global liquidity, and the local … liquidity of the primary exchang, before and after MiFID. It then investigates how liquidity measured by spreads and best … local liquidity, with spreads decreasing proportionally to market competition. The decline in depth observed in the early …

lit and dark fragmentation for liquidity. It presents an empirical analysis of the effect of market fragmentation on price …