benefits liquidity-consuming customers, as dealers penalize liquidity takers more than the electronic trading channel. Contrary … to expectations, at the onset of the Covid-19 crisis the costs for liquidity takers selling bonds electronically inverted … transparent order book. Volumes in electronic C-to-C trading are more driven by orders wherein the liquidity-consuming party is …

, driven by arbitrage asymmetry. The latter effect is also reflected in a univariate sort based on liquidity: a negative …. Furthermore, negative liquidity shocks increase overpricing, whereas positive shocks increase underpricing. These results … emphasize the important role of liquidity in explaining the cross-section of expected stock returns …

We examine how stock market liquidity and information asymmetry considerations influence the wealth effects of Mergers … when the deal is announced during periods of deterioration in the overall stock market liquidity. Lastly, we find that … liquidity considerations affect the acquirer’s choice of the target firm’s listing status, as well as the M&A method of payment …

Volume-based liquidity ratios suffer from potential measurement bias due to share restriction and may misrepresent … actual liquidity. In this paper, we develop a modified metric, the free-float liquidity ratio. We argue that this measure is … better suited to estimate liquidity in the presence of trading constraints as can be found in family-owned businesses or …

on liquidity in an attempt to explain the coexistence of evidence regarding both the positive and the negative impacts of … shocks, through which HFT trading patterns may sharply change. Latter regards the certain characteristics of HFT liquidity …

depth, and improved price efficiency.Moreover, slow traders become more competitive in liquidity provision and price …

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures …

This paper documents the liquidity-supplying behavior of High-Frequency Traders (HFT) during the abrupt and sustained … market decline led by the COVID-19 outbreak. The findings suggest that these endogenous liquidity providers reduce their … supply of liquidity in times of sustained market stress that lasted several days. The results are remarkably consistent for …

We explore a broad range of high-frequency liquidity measures for the Chinese stock market, based on a comprehensive … summarize their liquidity levels and key distributional properties. Hypothesis tests show that order interarrival times follow … Chinese stock market. We analyze the intraday and cross-sectional patterns of liquidity, and find novel intraday periodicities …