HAMEED, ALLAUDEEN; KANG, WENJIN; VISWANATHAN, S. - In: Journal of Finance 65 (2010) 1, pp. 257-293
Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on...