Using the liquidity-adjusted CAPM (LCAPM) model, we estimate three time-varying illiquidity risks based on the DCC-GARCH(1,1) for 49,351 common stocks of which 20,678 trade in 60 emerging markets and the remaining 28,673 in 23 developed markets. The reported evidence from the cross-sectional...

In this paper, we explore the link between culture, measured by collectivism, and commonality in liquidity for 51 countries over the period 1985 to 2012. We provide evidence that commonality in liquidity is higher for stocks that trade in collectivist countries, after controlling for supply-side...

This paper investigates the relationship between cross-listing on the US and UK regulated and unregulated exchanges and trading volume, for a sample of 500 foreign firms from 34 countries. Evidence shows that trading volume increase is a function of both reducing segmentation and signaling...

We examine the relationship between stock extreme illiquidity and the implied cost of capital for firms from 45 countries. We document robust evidence that firms whose stocks have a greater potential for extreme illiquidity realizations suffer from higher cost of capital. A one standard...

We explore whether silent information (electronic information flows) affects future price, spread and quoted depth levels in the Nasdaq Stock Market. Controlling for the time-series properties of silent information, past price, volume, electronic communications network (ECN) volume, time-of-day...