-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity … varies over time, we can disregard any cross-sectional differences between the securities. Also, since the liquidity of … Treasury notes varies predictably over time we are able to distinguish between current liquidity and expected future liquidity …

trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model …

liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to …

We study how actively managed equity mutual funds select the liquidity level of their equity portfolio and the effects … of this selection on performance. We provide evidence of five key determinants of portfolio liquidity: portfolio size …, portfolio concentration, the manager’s trading frequency, investment style, and fee structure. We also show that liquidity is a …

liquidity - but longer-term profits. One source of these profits is that institutions anticipate both earnings surprises and …

more sensitive to a liquidity-risk factor. Our results imply that information asymmetry has a substantial effect on asset … prices and that a primary channel linking asymmetry to prices is liquidity. …

trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model …

liquidity, especially for stocks with small market capitalization, high volatility and no listed options; (ii) slowed down price …

preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …