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Firm size, ownership structure, and systematic liquidity risk : the case of an emerging market
(Elsevier B.V., 2017)
Previous studies support the hypothesis that institutional ownership leads to an enhanced systematic liquidity risk by increasing the commonality in liquidity. By using a proprietary database of all incoming orders and ...
Commonality in ask-side vs. bid-side liquidity
We decompose the cost of trading into buy-side and sell-side using the limit order book. By using various position sizes to trade, we look for commonality in liquidity on different sides and also at the different levels ...