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 …

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 …

intervention, but normalizing the liquidity of other bonds required the second intervention. Liquidity measures were mostly back to …

a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …

Liquidity level and liquidity risk are priced in the cross-section of corporate bond yields and returns. In the first … case the focus is on the individual liquidity level while in the second case it is on the exposure to a common liquidity … factor. In this paper we focus on the impact of the liquidity level on yield spreads by acknowledging that liquidity is a …