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Evaporating Liquidity

https://doi.org/10.1093/rfs/hhs066
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(81)90020-9openalex-snapshot
Optimal dealer pricing under transactions and return uncertainty
inferredcites →https://doi.org/10.1016/0304-405x(85)90044-3openalex-snapshot
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
inferredcites →https://doi.org/10.1016/j.finmar.2013.06.006openalex-snapshot
High Frequency Trading and the New-Market Makers
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.023openalex-snapshot
Realized jumps on financial markets and predicting credit spreads
inferredcites →https://doi.org/10.1016/j.jfi.2008.12.002openalex-snapshot
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inferredcites →https://doi.org/10.1016/j.jfineco.2011.02.020openalex-snapshot
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inferredcites →https://doi.org/10.1016/s0304-405x(02)00228-3openalex-snapshot
Equilibrium and welfare in markets with financially constrained arbitrageurs
inferredcites →https://doi.org/10.1016/s0304-405x(03)00115-6openalex-snapshot
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inferredcites →https://doi.org/10.1016/s0304-405x(96)00896-3openalex-snapshot
Industry costs of equity
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-snapshot
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1086/261924openalex-snapshot
A Model of Competitive Stock Trading Volume
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
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inferredcites →https://doi.org/10.1093/rfs/1.1.3openalex-snapshot
A Theory of Intraday Patterns: Volume and Price Variability
inferredcites →https://doi.org/10.1093/rfs/15.4.1005openalex-snapshot
Dynamic Volume-Return Relation of Individual Stocks
inferredcites →https://doi.org/10.1093/rfs/3.2.175openalex-snapshot
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inferredcites →https://doi.org/10.1093/rfs/4.3.571openalex-snapshot
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inferredcites →https://doi.org/10.1093/rfs/hhi010openalex-snapshot
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inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-snapshot
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inferredcites →https://doi.org/10.1093/rfs/hhp005openalex-snapshot
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inferredcites →https://doi.org/10.1093/rfs/hhr027openalex-snapshot
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inferredcites →https://doi.org/10.1093/rfs/hhr114openalex-snapshot
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inferredcites →https://doi.org/10.1111/0022-1082.00067openalex-snapshot
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inferredcites →https://doi.org/10.1111/0022-1082.00097openalex-snapshot
Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb04782.xopenalex-snapshot
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inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01060.xopenalex-snapshot
Liquidity and Autocorrelations in Individual Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01316.xopenalex-snapshot
Individual Investor Trading and Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01529.xopenalex-snapshot
Stock Market Declines and Liquidity
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01530.xopenalex-snapshot
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inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01624.xopenalex-snapshot
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inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01655.xopenalex-snapshot
The Illiquidity of Corporate Bonds
inferredcites →https://doi.org/10.1198/073500106000000350openalex-snapshot
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inferredcites →https://doi.org/10.1257/jep.23.3.77openalex-snapshot
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inferredcites →https://doi.org/10.1257/mac.3.2.75openalex-snapshot
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inferredcites →https://doi.org/10.2469/dig.v38.n3.5openalex-snapshot
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What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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inferred← citeshttps://doi.org/10.2139/ssrn.2175338openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.2192336openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.2240825openalex-extracted
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The Macroeconomics of Shadow Banking
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inferred← citeshttps://doi.org/10.2139/ssrn.2383457openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2402215openalex-extracted
The Empirical Analysis of Liquidity
inferred← citeshttps://doi.org/10.2139/ssrn.2438639openalex-extracted
Slow Capital, Fast Prices: Shocks to Funding Liquidity and Stock Price Reversals
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Risk Adjusted Time Series Momentum
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The Expected Return of Fear
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inferred← citeshttps://doi.org/10.2139/ssrn.2532128openalex-extracted
Cross-sectional identification of private information
inferred← citeshttps://doi.org/10.2139/ssrn.2535919openalex-extracted
Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty
inferred← citeshttps://doi.org/10.2139/ssrn.2551910openalex-extracted
Cross-Listings and Liquidity Risk Diversification
inferred← citeshttps://doi.org/10.2139/ssrn.2564085openalex-extracted
The Dynamics of Financially Constrained Arbitrage
inferred← citeshttps://doi.org/10.2139/ssrn.2565660openalex-extracted
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Alpha Decay
inferred← citeshttps://doi.org/10.2139/ssrn.2587667openalex-extracted
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Rankings of Published Price-Earnings Ratios and Investor Attention
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A Tough Act to Follow: Contrast Effects in Financial Markets
inferred← citeshttps://doi.org/10.2139/ssrn.2628239openalex-extracted
Slow Capital, Fast Prices: Shocks to Funding Liquidity and Stock Price Reversals
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Short Covering
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Changes in Analystss Incentives Under Macroeconomic Uncertainty
inferred← citeshttps://doi.org/10.2139/ssrn.2671237openalex-extracted
Slow Trading and Stock Return Predictability
inferred← citeshttps://doi.org/10.2139/ssrn.2673529openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.2688567openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.2695145openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.2697645openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.2707528openalex-extracted
VIX and Liquidity Premium
inferred← citeshttps://doi.org/10.2139/ssrn.2718784openalex-extracted
Market Liquidity: A Study from Proprietary Algorithmic Traders Perspective
inferred← citeshttps://doi.org/10.2139/ssrn.2725215openalex-extracted
Cross-Sectional Identification of Informed Trading
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inferred← citeshttps://doi.org/10.2139/ssrn.3275567openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3287680openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3339253openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3554486openalex-extracted
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Intermediation Frictions in Equity Markets
inferred← citeshttps://doi.org/10.2139/ssrn.3610814openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3645137openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3658560openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3680246openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3691730openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3857463openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3888886openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3892335openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3895698openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3935934openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3943685openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3950568openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3956582openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.3969743openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.4004609openalex-extracted
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inferred← citeshttps://doi.org/10.2139/ssrn.4062962openalex-extracted
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What If There Were No Annual Reports? Evidence from the Great Postal Strike of 1970
inferred← citeshttps://doi.org/10.2139/ssrn.4089250openalex-extracted
Ambiguity, Learning, and Portfolio Flows
inferred← citeshttps://doi.org/10.2139/ssrn.4100653openalex-extracted
Dividend levels (not changes) signal future earnings
inferred← citeshttps://doi.org/10.2139/ssrn.4106412openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4115333openalex-extracted
The Role of Arbitrage Risk in the Max Effect: Evidence from the Korean Stock Market
inferred← citeshttps://doi.org/10.2139/ssrn.4122300openalex-extracted
Short-term Relative-Strength Strategies, Turnover, and the Connection between Winner Returns and the 52-week High
inferred← citeshttps://doi.org/10.2139/ssrn.4127304openalex-extracted
Discovering the Drivers of Stock Market Volatility in a Data-Rich World
inferred← citeshttps://doi.org/10.2139/ssrn.4131049openalex-extracted
Financial Intermediaries and Co-Movements in Pricing Efficiency: The Case of Exchange-Traded Funds
inferred← citeshttps://doi.org/10.2139/ssrn.4138512openalex-extracted
Option Liquidity and Gamma Imbalances
inferred← citeshttps://doi.org/10.2139/ssrn.4163257openalex-extracted
Retail Investors and Momentum
inferred← citeshttps://doi.org/10.2139/ssrn.4166167openalex-extracted
When Do Retail Investors Provide Liquidity?
inferred← citeshttps://doi.org/10.2139/ssrn.4167561openalex-extracted
Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios
inferred← citeshttps://doi.org/10.2139/ssrn.4181942openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4192142openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4192163openalex-extracted
A Tale of One Day: Morning Momentum, Afternoon Reversal
inferred← citeshttps://doi.org/10.2139/ssrn.4276714openalex-extracted
Consumer Credit and Asset Prices
inferred← citeshttps://doi.org/10.2139/ssrn.4328422openalex-extracted
Are Investors Better Off Doing Nothing During Exchange-Traded Fund Closures?
inferred← citeshttps://doi.org/10.2139/ssrn.4339591openalex-extracted
Reversals and the Returns to Liquidity Provision
inferred← citeshttps://doi.org/10.2139/ssrn.4342139openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4349550openalex-extracted
Reversals and the Returns to Liquidity Provision
inferred← citeshttps://doi.org/10.2139/ssrn.4368296openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4411451openalex-extracted
The Term Structure of Stock Return Predictability
inferred← citeshttps://doi.org/10.2139/ssrn.4441402openalex-extracted
Regulatory Uncertainty and the Hedge Fund Liquidity Circle
inferred← citeshttps://doi.org/10.2139/ssrn.4455669openalex-extracted
Which Traders Strategically Offer Liquidity During Price Jumps?
inferred← citeshttps://doi.org/10.2139/ssrn.4478315openalex-extracted
The Collapse of the Silicon Valley Bank (Svb) and its Impact on Financial Sector Valuations
inferred← citeshttps://doi.org/10.2139/ssrn.4494845openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4532267openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4575689openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4575793openalex-extracted
Directional Information in Equity Returns
inferred← citeshttps://doi.org/10.2139/ssrn.4595132openalex-extracted
Risk taking under assimilation and contrast: theory, experiments, and applications.
inferred← citeshttps://doi.org/10.2139/ssrn.4605208openalex-extracted
Overnight-Intraday Reversal Everywhere
inferred← citeshttps://doi.org/10.2139/ssrn.4622831openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4634497openalex-extracted
Intermediation in Us and EU Bond and Swap Markets: Stylised Facts, Trends and Impact of the Coronavirus (Covid-19) Crisis in March 2020
inferred← citeshttps://doi.org/10.2139/ssrn.4634907openalex-extracted
Voting in the Stock Market
inferred← citeshttps://doi.org/10.2139/ssrn.4649393openalex-extracted
Salience and Short-term Momentum and Reversals
inferred← citeshttps://doi.org/10.2139/ssrn.4662272openalex-extracted
Liquidity Provision in a One-Sided Market: The Role of Dealer-Hedge Fund Relations
inferred← citeshttps://doi.org/10.2139/ssrn.4686997openalex-extracted
Demand Shifts and Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.4706478openalex-extracted
Does Underreaction Explain Short-term Return Reversals?
inferred← citeshttps://doi.org/10.2139/ssrn.4731947openalex-extracted
Intraday Residual Reversal in the U.S. Stock Market
inferred← citeshttps://doi.org/10.2139/ssrn.4757379openalex-extracted
Media Emotion Intensity and Commodity Futures Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.4772185openalex-extracted
The Influence of Psychological Price Barriers on Short-Term Return Reversals
inferred← citeshttps://doi.org/10.2139/ssrn.4869272openalex-extracted
Volatility Surfaces and Expected Option Returns
inferred← citeshttps://doi.org/10.1002/fut.21982openalex-snapshot
Economic policy uncertainty, CDS spreads, and CDS liquidity provision
inferred← citeshttps://doi.org/10.1002/fut.22320openalex-snapshot
Nonlinear limits to arbitrage
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