We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …

We examine the interaction between market volatility, liquidity shocks, and stock returns in 41 countries over the … period 1990–2015. We find liquidity is an important channel through which market volatility affects stock returns in … international markets and we show this is distinct from the direct volatility–return relation. The influence of the liquidity …