future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows. First, in the … CDS portfolio analysis, when buying a portfolio with the highest increases in implied volatility and selling a portfolio … with the highest decreases and rebalancing monthly, the average change in future CDS spreads is positive and statistically …

, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts … illiquidity measure outperforms standard measures and we find illiquidity premia rise as trading costs diverge …

liquidity provision. However, in this paper, we find that intraday reversal has no significant dependence on stock liquidity for … results confirm this liquidity oversupply explanation. The negative correlation between previous intraday returns and future … due to excessive liquidity provision from uninformed retail traders instead of a price correction from a temporary price …

frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …

Previous studies find as the VIX goes up, the return and the Sharpe ratio on liquidity provision increase. We argue … for providing liquidity, (2) when assets are volatile, liquidity shocks create stronger trading demands and thus liquidity … demanders pay a higher premium, and (3) when assets are highly correlated, the higher risk of spillover of liquidity shocks …

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets … and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility …. The informational content of historical and option implied volatilities is generally lower than that of CDS implied …

price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently …