Year: 2015
Type: article
Abstract: Liquidity is said to be the lifeblood of stock markets. It has prominent implications for traders, regulators, stock exchanges and the listed firms. In recent years a huge amount of literature has emerged that deals with liquidity. This article classifies and organises the literature and provides a critical review of the frameworks currently available for modelling liquidity and its macroeconomic and firm specific drivers. Commonality and intraday behaviour of liquidity in various markets is discussed under the umbrella of market microstructures. Subsequently, liquidity risk as a factor in Asset pricing is analysed taking various models in to consideration. Finally, the study reviewed the impact of liquidity on corporate finance decisions viz. dividends, firm valuation, stock split, capital structure etc.
Authors: Gaurav Kumar, Arun Kumar Misra
Institution: Indian Institute of Technology Kharagpur
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
Funder: University Grants Commission
OpenAlex ID: W1947019458