Ukraine has some large listed companies, the market is quite illiquid. We study the efficiency of five liquidity measures in …

We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK … for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock … characteristic is positively priced in the cross-section of fund performance. We find that systematic liquidity risk is positively …

-ownership divergence on market liquidity. We find that the divergence is negatively associated with liquidity, and that this negative … market, the negative effect of the divergence on liquidity is worsened by state ownership and poorer shareholder protection …

We investigate the association between African real stock returns and stock liquidity for sixteen countries over the … liquidity measures are positively related when South Africa is excluded from the sample, making liquidity “priced in” these less …

. Finally, our study shows that the positive asset-stock liquidity relation may be attributed to transparency and/or liquidity …This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the … valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More …

This paper provides a new model-free indicator of liquidity, the so-called LIX index. The computation of the LIX index … stock with those observed in the market allows us to derive a model-free and unit-less indicator of spot liquidity. Just as … index measures, in a similar market-implied fashion, the liquidity risk. The maximum likelihood estimation of popular mean …