We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …

that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

Treasury security issue size and liquidity. Treasury bills that were first issued with fifty-two weeks to maturity and then … given maturity) than when they are off-the-run, and persists when controlling for other factors that affect liquidity. The … liquidity benefits of reopenings are more than offset by the direct supply costs. …

order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted … spread less than $0.05, the tick size increase is binding and leads to a significant decrease in liquidity in the limit order … book becomes less resilient – the amount of time required for a deviation in liquidity to return to its long-run mean. For …

show that the larger tick size raised the cost for retail-sized liquidity demanding orders by almost fifty percent, and … raised profits to liquidity providers by forty percent. The bulk of the effects occurred for tick-constrained stocks for …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … October 2004 when detailed transaction data from the Trade Reporting and Compliance Engine (TRACE) became available. In …

We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds … on the quantification of the impact of liquidity factors, while controlling for credit risk. Our time period starts in … October 2004 when detailed transaction data from the Trade Reporting and Compliance Engine (TRACE) became available. In …