Fohlin, Caroline; Gehrig, Thomas P.; Haas, Marlene - 2016
and, using a spread decomposition, we identify information risk as the largest component of illiquidity. Information costs … corporate governance and accounting. We find other hallmarks of information-based illiquidity: trading volume dropped and price … following the peak of the panic. Notably, market illiquidity risk is priced in the cross section of stock returns. Thus, our …