We examine the impact of bank loan announcements on stock liquidity. Using a comprehensive loan announcement sample … announcements. The findings suggest these announcements send positive signals about borrowers to the market that increases liquidity … provision, and reduce transaction costs, leading to improved liquidity for borrowers’ stocks. This liquidity improvement is more …

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …

Although the existing literature of Arbitrage Pricing Theory (APT) on different categories of stock markets is vast, it …

absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and …

liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal … of the position but increasing in the liquidity price impact. …