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 …

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets.
Indeed, fluctuations in various measures of liquidity are significantly correlated across …

We propose a new method to estimate the bid-ask spread when quote data are not
available. Compared to other low-frequency estimates, this method utilizes a wider …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

This study investigates whether marketwide liquidity is a state variable important for asset
pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of …

We provide a model that links an asset's market liquidity (ie, the ease with which it is traded)
and traders' funding liquidity (ie, the ease with which they can obtain funding). Traders …

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-
adjusted capital asset pricing model, a security's required return depends on its expected …

We build a model that helps to explain why increases in liquidity—such as lower bid–ask
spreads, a lower price impact of trade, or higher turnover–predict lower subsequent returns …

We examine the illiquidity premium in stock markets across 45 countries and present two
findings. First, the average illiquidity return premium across countries is positive and …

Previous studies of liquidity span short time periods and focus on the individual security. In
contrast, we study aggregate market spreads, depths, and trading activity for US equities …