Fund managers can demand liquidity for their trading ideas or provide liquidity for others' ideas. We identify the roles of these motives using a database of the individual transactions by Canadian equity funds. Both the cost and subsequent performance of their buys decline after strong inflows,...

We trace the evolution of extreme illiquidity discounts among Treasury securities during the financial crisis, when bond prices fell more than six percent below more-liquid but otherwise identical notes. Using high-resolution data on market quality and trader identities and characteristics, we...

The financial crisis saw a large premium paid for Treasury notes over bonds, reaching six percent of face value. We relate this premium to the underlying sources of liquidity supply and demand. On the supply side, we find that arbitrageurs faced low direct costs but high frictions, and that the...