Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues

By Carole Comerton-Forde, Terrence Hendershott, Charles M. Jones, Pamela C. Moulton, Mark S. Seasholes. 2010

344 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/16ca5ce7a124cf55e439e803a9402a413aeac121

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

In Finance

Citations in the corpus

What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data (2010, neutral): “Because of evidence that the impact of trade size on price adjustment is concave (Hasbrouck, 1991; Dufour and Engle, 2000; Bouchaud, Farmer, and Lillo, 2008), we use the natural logarithm of trade size in our analysis.”
Illiquidity Premia in the Equity Options Market (2018, neutral): “The evidence in Comerton-Forde et al. (2010) suggests that skipping a day is likely to obscure important interactions between demand pressures, spreads, and prices.”
Understanding Commonality in Liquidity Around the World (2011, positive): “, Chordia, Roll, and Subrahmanyam, 2000; Coughenour and Saad, 2004), we exclude stock i in our computation of the innovations in market liquidity (i.e., the aggregate market residual from (4)). However, unreported robustness checks confirm that our main results are not sensitive to including i in th”
News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, positive): “, Comerton-Forde et al., 2010). 4Market makers distort prices to prevent excess inventories in a way that may impose costs on the market maker. The model in Hendershott and Menkveld (2013) captures the idea that by charging a transitory price impact, the market maker induces offsetting buy or sell o”
Does Algorithmic Trading Improve Liquidity (2011, neutral): “This could overstate time-series improvements in liquidity, although the same liquidity patterns are present without a survivorship requirement (see Comerton-Forde et al. (2010)).”
Fire‐Sale Spillovers and Systemic Risk (2015, neutral): “13See also Comerton-Forde et al. (2010); Hameed et al.”
Capital Commitment and Illiquidity in Corporate Bonds (2017, positive): “The inclusion of recent market-wide returns is based on results from equity markets (e.g., Hameed, Kang, and Viswanathan, 2010; Comerton-Forde et al., 2010) that lower returns reduce dealers’ propensity to supply liquidity, via its impact on their market making profits.”
Transparency and Liquidity Uncertainty in Crisis Periods (2011, neutral): “35 First, research such as Daske et al. (2009) and Hope et al.”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, positive): “4 Control variable Prior research suggests that liquidity costs are at least partially explained by the variations in share price, return volatility, trading activity and firm size (Benston (1974), Stoll (1978), Copeland and Galai (1983), Barclay and Smith (1988), Hanley et al.”