Who Provides Liquidity, and When?

We thank Hengjie Ai, Shmuel Baruch, Malcolm Baker, Dan Bernhardt, Hank Bessembinder, Eric Budish, Tarun Chordia, Thierry Foucault, Katya Malinova, Maureen O’Hara, Monika Piazzesi, Veronika Pool, Neil Pearson, Barbara Rindi, Shri Santosh, Andriy Shkilko, Brian Weller, Chen Yao, Bart Yueshen, and Marius Zoican for helpful comments. We are also grateful for input from participants in conferences at the University of Rochester, UCLA, Texas A&M University, the University of Florida, and Washington University at St. Louis, as well as at the Carlson Junior Conference at the University of Minnesota, the NYU Stern Market Microstructure Conference, the 2nd SAFE Market Microstructure Conference, the Colorado Front Range Finance Seminar, the Bank of Canada-Laurier Market Structure conference, the Telfer Annual Conference on Accounting and Finance, the Wabash River Conference at Indiana University, and the Smokey Mountain Conference at the University of Tennessee for their helpful suggestions. This research is supported by National Science Foundation grant 1352936 (jointly with the Office of Financial Research at U.S. Department of the Treasury) and National Science Foundation grant 1838183. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• SSRN Link