liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …

liquidity demander exploiting access to allmarkets by optimally splitting orders across markets. This paper seeks to test this …

also increases information asymmetry and reduces stock liquidity. It also intensifies the price impact and liquidity crunch …

contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro … corporate bonds is rejected for seven out of eight liquidity measures. We findsignificant liquidity premia, ranging from 9 to 24 …

, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation … strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value … of the out-of-sample power of empirical models based on different liquidity measures and find three key results …

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

We examine whether the drastic improvement in liquidity in the US stockmarket after 2003 has impacted the systematic …-varying long bias in US-stockmarket exposure. The reversal of the relationship points towards liquidity timingby hedge funds in the …