We find that small buy trades of U.S. agency mortgage-backed securities (MBS) are priced 3%-8% lower than large sell trades. No such “crossing” exists in corporate bonds and agency debentures. We attribute the MBS price patterns to impediments to position aggregation in combination with...

We suggest a procedure to predict individual stock liquidity and study the relation between stock liquidity forecasts and average stock returns. Our forecast model reduces the root-mean-squared error by 12% for the Amihud (2002) liquidity measure compared to realized stock liquidity in the...