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

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

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 …