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Miwa, Kotaro - In: The quarterly journal of finance 9 (2019) 1, pp. 1-25

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Realized volatility, liquidity, and corporate yield spreads

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Illiquidity, return and risk in G7 stock markets : interdependencies and spillovers

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Why does higher variability of trading activity predict lower expected returns?

Barinov, Alexander - In: Journal of banking & finance 58 (2015), pp. 457-470

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State-dependent variations in the expected illiquidity premium

Jang, Jeewon; Kang, Jangkoo; Lee, Changjun - In: Review of finance : journal of the European Finance … 21 (2017) 6, pp. 2277-2314

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Impact of sentiments on stock returns, volatility and liquidity

Gakhar, Divya Verma; Kundlia, Shweta - In: International journal of economic policy in emerging … 14 (2021) 5/6, pp. 536-565

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Reversals and the returns to liquidity provision

Dai, Wei; Medhat, Mamdouh; Novy-Marx, Robert; Rizova, Savina - In: Financial analysts journal : FAJ 80 (2024) 2, pp. 122-151

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Liquidity-induced dynamics in futures markets

Fagan, Stephen; Gençay, Ramazan - 2007

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

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Default risk and option returns

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Liquidity shocks and the negative premium of liquidity volatility around the world

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