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 …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses … smaller-cap to a larger-cap FTSE index experience a permanent increase in stock price accompanied by improvements in liquidity … accompanied by declines in liquidity. In contrast, firms added to the FTSE SmallCap index that were not previously in FTSE indexes …

Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are … more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is …

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

measure) to aggregate different groups of liquidity measures (percent-cost proxies, cost-per-volume proxies, etc.), in order … to accommodate for the ‘different dimensions of liquidity' (Amihud et al., 2005) through a single ‘unified' market …-wide aggregate liquidity metric. The weights for the multiple dimensions are time-varying and depend on three components: the …

previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …

commercial real estate setting, where (il)liquidity is a defining characteristic of the asset class. Empirical tests confirm the … estate asset returns, and pro-cyclical liquidity variation in private real estate markets …