We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …

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 …

Lou and Sadka (2011) examine the effect of stock liquidity characteristics on stock performance during the 2008 …-2009 crisis. Their conclusion is that liquidity risk, and not the liquidity level, explains stock performance during the crisis …. Lou and Sadka (2011) measure liquidity via Amihud’s (2002) illiquidity measure. I construct a new measure of illiquidity …

Using data from the Lipper TASS hedge fund database over 1994-2012, we examine the role of liquidity risk in explaining … exists for all hedge funds, once we stratify our sample by liquidity risk, we find that such a relationship only exists among … funds with the highest liquidity risk. This result cannot be explained away by the liquidity hypothesis or the leverage …

This study shows that, to obtain a precise measure of the liquidity premium in the stock market, it is important to … recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively … correlated with stock illiquidity but negatively priced in the stock market, obscures the estimation of the liquidity premium …

This study shows that to obtain a precise measure of the liquidity premium in the stock market, it is important to … recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively … correlated with stock illiquidity but negatively priced in the stock market, obscures the estimation of the liquidity premium …

We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …