Gryglewicz, S.

liquidity country market commonality stock model cash fl ows equity return value default journal capital volatility level effect cash holdings demand-side dividend factor time-serie table investor economic nancial solvency coef ficients signi fi rms ficient demand-side factors measure holding regression result variable increase policy market volatility andrew karolyi trading equity holders cash reserves 40 countries turnover / journal market declines funding fi nancial intermediaries gryglewicz / journal earning paper shock condition sample capital structure interest nancing coupon evidence rturn constraint signi ficantly month proxy sentiment index study liquidity concerns liquidity shocks market liquidity structure capital fl ows period credit fi nancing equity fl ows coef ficient capital market conditions variation