the distressed arbitrageur faces limited funding liquidity in the form of a simple margin constraint. Finally, we analyse … how the interaction of these two problems, namely fundamental ambiguity and limited funding liquidity, affect the market …

Employing a broad sample of US firms over the period 1962 to 2009, we provide evidence of a liquidity risk impact on … the fundamental earnings-returns relation. Specifically, we document that current liquidity risk has a positive moderating … that the liquidity risk effect on the earnings-returns relation is dominant in firms that: (a) are of intermediate size; (b …

, to study cross-sectional commonality in liquidity for individual equity options. We document that individual option … liquidity is strongly associated with the underlying market activity, a finding that is consistent with the derivatives hedging … theory. The implementation of the Premium Based Tick Size rule has lead to increases in liquidity. In contrast to previous …

This study is conducted to shed more lights on the relationship between volatility and liquidity in the Indonesia Stock … volatility, measured by realized volatility, and liquidity, measured by high-low spread estimator. We found inconsistent … relationship between liquidity and volatility in the IDX. Further, we also found that the liquidity is important in the asset …

In this paper, we develop a dynamic model of a limit order market populated with liquidity traders who have only … execution probabilities of limit orders as a function of traders' liquidity demand and the state of the limit order book. We … find that the equilibrium percentage of market order submissions is also increasing in the dispersion in liquidity traders …

asymmetric information and risk. Ellul and Pagano (2006) first linked the underpricing with liquidity proxies like liquidity risk … and effective spread. In this paper I propose a different liquidity based framework which compares an IPO to a large sell …-initiated block trade, and the underpricing to the price pressure effect of the trade itself, which means the price for the liquidity …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively …-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative … predictability of liquidity shocks, the inattention-based mechanism is more powerful for the longer-term return predictability …