commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio …The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they … predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions … uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …

We study the relation between liquidity in financial markets and post-trading fees (i.e. clearing and settlement fees … observed liquidity in the market. The second fee structure features a CSD breaking even by charging the internalized and non …-broker counterparties only. This difference in post-trading fees drives traders strategies and thus liquidity. Furthermore, across the two …

value of another related asset due to information arrival. These opportunities are toxic because they expose liquidity … suppliers to the risk of being picked off by arbitrageurs. Hence, more frequent toxic arbitrage opportunities and a faster … arbitrageurs' response to these opportunities impair liquidity. We find support for these predictions using high frequency …

We model systemic risk in an interbank market. Banks face liquidity needs as consumers are uncertain about where they … need to consume. Interbank credit lines allow banks to cope with these liquidity shocks while reducing the cost of …

We analyse the effect of concealing limit order traders’ identities on market liquidity. We develop a model in which … cost of liquidity provision were large when indeed it is small. This bluffing strategy is less effective when traders … anonymous market. For this reason, concealing limit order traders’ IDs affects market liquidity in our model. We test this …

regulation of competition between liquidity suppliers or exchanges. …

This Paper solves explicitly a simple equilibrium asset pricing model with liquidity risk – the risk arising from … various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and … unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security’s required return …