This paper provides a thorough review of the liquidity measures that are used in the
empirical literature to measure liquidity. A wide range of papers have emphasized its role …

This paper shows that over time, expected market illiquidity positively affects ex ante stock
excess return, suggesting that expected stock excess return partly represents an illiquidity …

Given the key role of liquidity in finance research, identifying high quality proxies based on
daily (as opposed to intraday) data would permit liquidity to be studied over relatively long …

The effective cost of trading is usually estimated from transaction‐level data. This study
proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the …

Emerging markets are characterized by volatile, but substantial returns that can easily
exceed 75% per annum. Balancing these lofty returns are liquidity costs that, using the bid …

We review the theories on how liquidity affects the required returns of capital assets and the
empirical studies that test these theories. The theory predicts that both the level of liquidity …

Market microstructure and asset pricing both consider the behavior and formation of prices
in asset markets. Yet neither literature explicitly recognizes the importance and role of the …

Firms increasingly issue shares for the purpose of cash savings. During the 1970s, 1.00
ofissuanceresultedin 0.23 of cash savings; over the most recent decade, 1.00 …

How costly is the poor governance of market intermediaries? Using unique trade level data
from the stock market in Pakistan, we find that when brokers trade on their own behalf, they …

Behavioural finance is emerging field with wide scope. In the absence of enough of literature
in Indian context, understanding of individual investor's behaviour towards stock market by …