We examine the impact on the quality of a securities market of hiding versus displaying orders that provide liquidity …. Display expropriates informational rents from informed agents who trade as liquidity providers. The informed then exit … liquidity provision in favor of demanding liquidity where they trade less aggressively. Trading costs to uninformed liquidity …

I construct a tractable model to evaluate the liquidity shock hypothesis that exogenous shocks to equity market … liquidity are an important cause of the business cycle. After calibrating the model, I find that a large and persistent negative … liquidity shock can generate large drops in investment, employment and output. Contrary to the hypothesis, however, a negative …

Recent literature indicates that a liquidity investment style – the process of investing in relatively less liquid … significantly outperformed mutual funds that held more liquid stocks. This demonstrates that the liquidity premium is sufficiently … strong to show up in portfolios where the managers are most likely not directly focusing on liquidity. Surprisingly, the …

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U ….S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll …'s measure. The results show that expected bond liquidity and exposure to equity market liquidity risk affect expected bond …

analyzes the potentially positive liquidity implications of a new trading venue. To this end, we examine the impact of the Chi …-X market entry in French blue chip equities on the liquidity of their home market. Our findings suggest that in consequence of … the new competitor's market entry, liquidity in the most actively traded stocks has enhanced on the home market during the …

Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss …

corporate insiders utilize their private information when the amount of liquidity trading is varying over time in a predictable … announcements increases in the amount of liquidity trading available. This pattern is more pronounced before unscheduled …