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Journal of Financial Economics, ISSN 0304-405X, 2009, Volume 92, Issue 2, pp. 153 - 181
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... 
Liquidity | Effective spread | Transaction costs | Price impact | Asset pricing | NASDAQ | STOCK-EXCHANGE | RETURNS | MOMENTUM STRATEGIES | RISK | BUSINESS, FINANCE | COSTS | BID-ASK SPREAD | EMERGING MARKETS | ECONOMICS | ILLIQUIDITY | EQUITY | Liquidity Transaction costs Effective spread Price impact Asset pricing | Measurement | Financial markets | Universities and colleges | Liquidity (Finance)
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 03/2016, Volume 119, Issue 3, pp. 645 - 672
This paper examines transaction costs and liquidity in the index CDS market by matching intraday quotes to real-time trade reports made available through the... 
Over-the-counter markets | Liquidity | Real-time trade reporting | Credit default swaps | Dodd-Frank Act | CORPORATE BOND MARKET | PRICE | SECURITIES | SEARCH | INTERMEDIATION | COUNTERPARTY RISK | BUSINESS, FINANCE | TRANSPARENCY | BID-ASK SPREAD | ECONOMICS | ILLIQUIDITY | DEFAULT SWAP MARKET | Derivatives (Financial instruments) | Analysis | College teachers
Journal Article
International Review of Financial Analysis, ISSN 1057-5219, 10/2016, Volume 47, pp. 166 - 178
In this paper, we assess the impact of the securities transaction tax (STT) introduced in France in 2012 on market liquidity and volatility. To identify... 
Financial transaction tax | Euronext | Tobin tax | Securities transaction tax | Volatility | Liquidity | Financial regulation | BEHAVIOR | RETURNS | PRICE VOLATILITY | FINANCIAL MARKET | BUSINESS, FINANCE | COSTS | STOCK-MARKET | BID-ASK SPREAD | EXCHANGE | BOURSE | Securities trading | Taxation | Securities | Foreign corporations | Liquidity (Finance) | Economics and Finance | Humanities and Social Sciences
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 11/2007, Volume 20, Issue 6, pp. 1783 - 1831
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 11/2007, Volume 20, Issue 6, pp. 1865 - 1900
Journal Article
Sustainability (Switzerland), ISSN 2071-1050, 12/2018, Volume 10, Issue 12, p. 4579
Journal Article
2009, Research in finance, ISBN 9781849504416, Volume 23, 274
Contains contributions on a range of important issues in financial research. This title covers such topics as: the performance of fixed income mutual funds in... 
Financial institutions | International finance | Economics | Finance | Stochastic processes
eBook
Journal of Financial Economics, ISSN 0304-405X, 2008, Volume 87, Issue 2, pp. 388 - 417
Many classes of microstructure models, as well as intuition, suggest that it should be easier to trade when markets are more active. In the data, however,... 
Transaction volume | Liquidity dynamics | STOCK RETURNS | BUSINESS, FINANCE | DEMAND | IMPACT | liquidity dynamics | MARKET | COSTS | TRADING VOLUME | transaction volume | ECONOMICS | ASSET PRICES | EXCHANGE
Journal Article
Review of Quantitative Finance and Accounting, ISSN 0924-865X, 2/2018, Volume 50, Issue 2, pp. 353 - 392
This paper offers a systematic review of the empirical literature on the implications of tick size changes for exchanges. Our focus is twofold: first, we are... 
Market quality | Finance | Minimum trade unit | G14 | Tick size | Trading costs | G18 | Corporate Finance | Accounting/Auditing | Operations Research/Decision Theory | High frequency trading | Econometrics | Microstructure | Market structure | Stock exchanges | Securities markets | Discovery | Systematic review | Asked price | Transaction costs | Resting | Literature reviews | Liquidity | Trading | Regulation
Journal Article
Journal of Financial Services Research, ISSN 0920-8550, 8/2018, Volume 54, Issue 1, pp. 111 - 143
Journal Article
2014, ISBN 0199936242, cm.
The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical... 
financial markets | Liquidity (Economics) | Securities | Capital market
Book
Journal of Political Economy, ISSN 0022-3808, 10/2004, Volume 112, Issue 5, pp. 1054 - 1090
We propose a dynamic equilibrium model of asset prices and trading volume when agents face fixed transactions costs. We show that even small fixed costs can... 
Risk aversion | Stock prices | Trade | Dividends | Determinism | Financial risk | Discounts | Stock shares | Transaction costs | Fixed costs | LIQUIDITY | EXCHANGE-RATE | MARKET | DYNAMIC EQUILIBRIUM | RETURNS | PORTFOLIO CHOICE | ARBITRAGE | ECONOMICS | MODEL | ADJUSTMENT | CONSUMPTION | Costs | Chemistry | Securities trading | Forecasts and trends | Valuation | Stock markets | Analysis
Journal Article
Financial Management, ISSN 0046-3892, 2017, Volume 46, Issue 3, pp. 743 - 766
Journal Article