Jia-Yi Zhong

Valuing Stock Liquidity: Theory and Evidence From the Collapse of Lehman Brothers

This study examines the cross‐sectional relationship between stock return and stock liquidity (both level and risk) for the period when there was a huge decline in market‐wide funding liquidity from the collapse of Lehman Brothers. We propose a global game model to analyse the decisions of short‐term traders around t...