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By Tarun Chordia

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Journal of Finance, vol. 48, no. 1 (March):187–211. , and Patrick Hess. 1981. ” Journal of Business, vol. 54, no. 4 (October):579–596. Glosten, Lawrence, and Paul Milgrom. 1985. ” Journal of Financial Economics, vol. 14, no. 1 (March):71–100. Harris, Lawrence. 1986. ” Journal of Financial Economics, vol. 16, no. 1 (January):99–117. ———. 1989. ” Journal of Financial and Quantitative Analysis, vol. 24, no. 1 (March):29–45. ———. 1994. ” Review of Financial Studies, vol. 7, no. 1 (Spring):149–178.

T-bond yields could cause investors to reallocate wealth between equity and debt instruments and thus stimulate trading activity and affect liquidity. An increase in default spreads could increase the perceived risk of holding inventory and thereby decrease liquidity. 14 Equity market performance is another plausible causative candidate. Recent stock price moves could trigger changes in investor expectations and also prompt changes in optimal portfolio compositions. In addition, the direction of stock market movements could trigger asymmetric effects on liquidity.

Do unanticipated liquidity variations constitute a risk priced in the cross-section of asset returns? Such questions deserve the attention of future research. , and Paul Pfleiderer. 1988. ” Review of Financial Studies, vol. 1, no. 1 (January):3–40. ———. 1989. ” Review of Financial Studies, vol. 2, no. 2 (April):189–223. Amihud, Yakov, and Haim Mendelson. 1986. ” Journal of Financial Economics, vol. 17, no. 2 (December):223–249. Baginski, Stephen, John Hassell, and Gregory Waymire. 1994. ” Accounting Review, vol.

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