NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Market Liquidity -- Theory and Empirical Evidence

Dimitri Vayanos, Jiang Wang

NBER Working Paper No. 18251
Issued in July 2012

---- Acknowledgements -----

Forthcoming in the Handbook of the Economics of Finance, edited by George Constantinides, Milton Harris, and Rene Stulz. We thank Bruno Biais, Joost Driessen, Denis Gromb, Terrence Hendershott and Ronnie Sadka for very helpful comments. Financial support from the Paul Woolley Centre at the LSE is gratefully acknowledged. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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