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Liquidity Shocks and Stock Bubbles [PDF]
SSRN Electronic Journal, 2013 Abstract This study presents and empirically tests a simple framework that examines the effects of market liquidity (the ease with which stocks are traded) and funding liquidity (the ease with which market participants can obtain funding) on stock market bubbles. Three key findings emerge from this research.
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The effects of stock splits on stock liquidity
Journal of Economics and Finance, 2013This study examines the effects of stock splits on stock liquidity. We find that most liquidity measures increase substantially around the stock split announcement. After the announcement date, split firms’ liquidity declines, but is still above the pre-split level. However, after the ex-date, the liquidity drops below the pre-split level.
Gow-Cheng Huang +2 more
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Stock liquidity and the Taylor rule
Journal of Empirical Finance, 2010Recent theoretical models have linked stock liquidity and commonality in liquidity to the market makers’ funding availability and financial constraints from liquidity supply side. This paper establishes the linkage between stock liquidity and real time macroeconomic variables through the Taylor rule, the monetary policy rule that Federal Reserve uses ...
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An optimal stock liquidation rule
Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228), 2002Trading in stock markets consists of three major steps: select a stock, purchase a number of shares, and eventually sell them to make a profit. The timing to buy and sell is extremely crucial. A selling rule can be specified by two pre-selected levels: a target price and a stop-loss limit.
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Financial Analysts Journal, 1986
(1986). Liquidity and Stock Returns. Financial Analysts Journal: Vol. 42, No. 3, pp. 43-48.
Yakov Amihud, Haim Mendelson
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(1986). Liquidity and Stock Returns. Financial Analysts Journal: Vol. 42, No. 3, pp. 43-48.
Yakov Amihud, Haim Mendelson
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Stock market liquidity and the decision to repurchase
Journal of Corporate Finance, 2008We examine the impact of stock market liquidity on managerial payout decisions. We argue that stock market liquidity influences payout policy through a first-order effect on the share repurchase decision, and a second-order or residual effect on the dividend decision.
Brockman, P., Howe, J., Mortal, S.
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SSRN Electronic Journal, 2005
Stock liquidity is a frequent consideration for primary or secondary issuance, stock splits, share repurchases and special dividends. However, there has been very little literature or rigorous guidance around what constitutes liquidity, its impact, and potential remedies. * How To Measure Stock Liquidity * The 'Liquidity Discount' * Policy Implications
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Stock liquidity is a frequent consideration for primary or secondary issuance, stock splits, share repurchases and special dividends. However, there has been very little literature or rigorous guidance around what constitutes liquidity, its impact, and potential remedies. * How To Measure Stock Liquidity * The 'Liquidity Discount' * Policy Implications
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Individual investor trading and stock liquidity
Review of Quantitative Finance and Accounting, 2013Recent studies suggest that individual investors may have private information and their trading can be informative. Consistent with this observation, we find that stocks that are more heavily traded by individual investors have higher liquidity, after controlling for other determinants of liquidity. The result is robust to various model specifications,
Qin Wang, Jun Zhang
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An composite approach to measure stock liquidity in Chinese stock market
2010 International Conference on Machine Learning and Cybernetics, 2010Liquidity is one of the basic characters of security market and has various aspects. Index based on microstructure theory measures only one or another character of liquidity. This paper defined the concept of liquidity, and then constructed a composite index. Our empirical study shows that the index is effective and predictive.
Ya-Nan Wang 0001, Qizong Wu, Feng Liu
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A study on the factors affecting stock liquidity
International Journal of Services and Standards, 2007Stock liquidity is one of the most important factors of asset pricing. For instance, investors will request higher premium for low liquidity securities, otherwise, they will request for lower rate of return. The purpose of this study was to analyse and discuss the factors affecting stock liquidity.
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