explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in …

shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …

incorporate to stock market modeling to prove the hypothesized the effectiveness of monetary policy on stock market liquidity in …

We examine the uncertainty elasticity of liquidity (UEL: percentage change in the individual stock's liquidity given … for the liquidity risk. Finally, on average, stocks' UEL is higher when the stock market return is lower …

from those induced by liquidity trading. We show a simple strategy that uses high-option-illiquidity stocks and yields 16 …

This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces … a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta … performance spread of 4% in the cross-section of mutual funds over the period 1983-2014. Liquidity risk premia based on …

by identifying that this evidence largely disappears after controlling for the liquidity risk features of stocks. No … point to a strong relation between sentiment risk and liquidity risk in returns and the need for careful disentangling of … sentiment versus liquidity effects …

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …

Employing a broad sample of US firms over the period 1962 to 2009, we provide evidence of a liquidity risk impact on … the fundamental earnings-returns relation. Specifically, we document that current liquidity risk has a positive moderating … that the liquidity risk effect on the earnings-returns relation is dominant in firms that: (a) are of intermediate size; (b …