Many market participants invest resources to acquire information about liquidity rather than fundamentals. I show that … agents using such information can reduce the magnitude of short-lived pricing errors by trading against liquidity shocks …. However, the short-run stabilizing effect of this behavior also makes it more difficult to identify liquidity shocks, a signal …

liquidity. Bubbles can arise without the short-sales constraint. We show that the more frequently investors trade in the future …

other informational advantages. High levels of order flow toxicity can culminate in market makers providing liquidity at a … market liquidity and precede precipitous drops in asset prices. Bulk Volume VPIN (BV-VPIN) is one way of measuring the …

quality and price efficiency. For German large-cap stocks we find excess liquidity demand around MA signals and high limit … increase of a larger magnitude. This suggests that liquidity demand in direction of the signal leads to persistent price …

measures of liquidity. A meta-model implies an empirical measure of liquidity, denoted L, which describes various … characteristics of trading and funding liquidity such as trading costs, bet sizes, haircuts, and capital requirements. When mapped …

order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted … spread less than $0.05, the tick size increase is binding and leads to a significant decrease in liquidity in the limit order … book becomes less resilient – the amount of time required for a deviation in liquidity to return to its long-run mean. For …

Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies of … trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our …-section of expected returns for NYSE-listed stocks: we obtain monthly liquidity premium estimates of 5.3bp for expected returns …