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We examine in an event-study context what factors affect the relative performance of stocks during liquidity crises. We find that market risk, measured by the market beta, is not a good measure of expected abnormal stock returns on days with liquidity crises. Instead, abnormal stock returns...
Using a unique, hand-collected data set of hedge fund ownership, we examine the effects of hedge fund ownership on liquidity risk in the cross-section of stocks. After controlling for institutional preferences for stock characteristics, we find that stocks held by hedge funds as marginal...
Global bonds are international securities traded and settled efficiently in multiple markets. This paper examines global bonds to evaluate the effects of multimarket trading on corporate bond liquidity and pricing. The results show that global bonds are significantly more liquid than...