dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

Treasury security issue size and liquidity. Treasury bills that were first issued with fifty-two weeks to maturity and then … given maturity) than when they are off-the-run, and persists when controlling for other factors that affect liquidity. The … liquidity benefits of reopenings are more than offset by the direct supply costs. …

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they … predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions … uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …

liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity …