Speeding up the exchange does not necessarily improve liquidity. On the one hand, more speed enables a high … likely to meet liquidity traders. This raises the spread. The net effect depends on a security's news-to-liquidity …

This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces … a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta … performance spread of 4% in the cross-section of mutual funds over the period 1983-2014. Liquidity risk premia based on …

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …

by identifying that this evidence largely disappears after controlling for the liquidity risk features of stocks. No … point to a strong relation between sentiment risk and liquidity risk in returns and the need for careful disentangling of … sentiment versus liquidity effects …

degree of liquidity they provide. We provide a stylized model to examine the implications of these costs on dealer behavior … and market liquidity. We use the model to guide an empirical study of the single-name credit default swap (CDS) market …

liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or, even better, platform …