In this paper, we examine liquidity pricing in emerging market corporate bonds. We find average market-wide effective … bid-ask spreads of 0.72%, which rise to 1.4% during the financial crisis. Turnover is closely linked to several liquidity … characteristics such as issue size and age. Using portfolios based on these characteristics, we show that liquidity levels affect …

This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices … impediments are absent, abnormal returns persist. Using a new measure of liquidity, we find that liquidity is economically and …

credit markets, liquidity demands rise in a country's domestic banking sector, which raise the probability of bank runs and …

in the course of this investigation are the following:•non-optimal capital structure formation•ineffective liquidity … warning of bankruptcy ahead of others are financial instability and liquidity ratios …

in the course of this investigation are the following: non-optimal capital structure formation, ineffective liquidity … warning of bankruptcy ahead of others are financial instability and liquidity ratios …

liquidity risk characteristics. The analysis also illustrates the impact of the introduction of the euro on systemic illiquidity …

liquidity risk characteristics. The analysis also illustrates the impact of the introduction of the euro on systemic illiquidity …

This paper shows how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple … market liquidity between securities linked by arbitrage. I test these hypotheses on Canadian stocks cross-listed in the …

In this paper, we explore the link between culture, measured by collectivism, and commonality in liquidity for 51 … countries over the period 1985 to 2012. We provide evidence that commonality in liquidity is higher for stocks that trade in … collectivist countries, after controlling for supply-side and demand-side determinants of liquidity as well as a host of country …