We comprehensively study various measures of stock trading liquidity around seasoned equity offerings (SEOs) and SEO underpricing using a sample of 3,811 SEOs, made from 1997 to 2012, and a matched non-SEO sample. We find that all liquidity measures of SEO firms improve significantly after SEO...

We investigate whether the liquidity premium is better explained by the risk-based model or the characteristic-based model. Based on three widely-used liquidity measures that are supposed to reflect different aspects of liquidity, we find that liquidity as a characteristic carries a significant...

Illiquidity shocks are negatively associated with future returns. There are two potential explanations: underreaction and illiquidity spiral. We find that negative illiquidity shocks generate upward price continuation, but positive illiquidity shocks lead to initial downward price continuation...