Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues
研究了做市商的资产负债表和损益表变量如何解释流动性的时间变化，发现库存大或亏损时买卖价差扩大，且高波动股票对库存和亏损更敏感。
ABSTRACT We show that market‐maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity‐supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, we find that aggregate market‐level and specialist firm‐level spreads widen when specialists have large positions or lose money. The effects are nonlinear and most prominent when inventories are big or trading results have been particularly poor. These sensitivities are smaller after specialist firm mergers, consistent with deep pockets easing financing constraints. Finally, compared to low volatility stocks, the liquidity of high volatility stocks is more sensitive to inventories and losses.