Meng, Lei; Verousis, Thanos; ap Gwilym, Owain - In: Journal of International Financial Markets, … 24 (2013) C, pp. 139-152
In a perfectly liquid market, investors’ optimal allocation decisions refer to maximizing all three dimensions of liquidity, namely immediacy, width and depth. To the extent that investors fail to accommodate size (depth) along with price (width) in their optimal allocation decisions, their...