... Review, The International Journalof Finance, The Journal of Banking and Finance, The Journal of Finance, The Journal of Financial Economics, The Journal of Financial & QuantitativeAnalysis, The ... ch05.tex The Cross-Section of Daily Variation in Liquidity 87Thus, the response of λ to vδis positive but decreasing in vδ and vz .In other words, λ is concave in vδ, and the response of ... derivatives in Equations (3) and (4) above canbe interpreted as capturing the cross-sectional relation between the response ofliquidity to new information (the first derivative) and cross-sectional...