This paper provides a comprehensive economic evaluation of the short-horizon predictive ability of liquidity on monthly stock returns, using dynamic asset allocation strategies. We assess the economic value of the out-of-sample power of empirical models based on different liquidity measures and...

The paper studies relevance of the cross-sided externality between liquidity makers and takers from the two-sided market perspective. We use exogenous changes in the make/take fee structure, minimum tick-size and technology for liquidity suppliers and demanders, as experiments to identify...

We investigate, for limit order book equity markets, how trading, liquidity provision, and the overall market quality in one security are influenced by correlated inventory risk exposures of liquidity providers to other securities in their portfolios. We find strong support for Ho and Stoll...