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Quality portfolios and funding liquidity crises

Rubio, Gonzalo - In: Spanish journal of finance & accounting : the official … 49 (2020) 3, pp. 322-344

Persistent link: https://www.econbiz.de/10012255977

Institutional Investment and Commonality in Liquidity : Evidence from Transaction Data

Aymo, Mahmoud - 2015

This paper investigates the direct link between institutional investors' trading activity and comovement in stock liquidity using data on actual institutional investors' trades. We fi nd strong empirical evidence that stocks that are highly traded by institutions exhibit commonality in...

Persistent link: https://www.econbiz.de/10013034523

Consumption, liquidity and the cross-sectional variation of expected returns

Márquez De la Cruz, Elena; Nieto Domenech, Belen; … - 2010

Persistent link: https://www.econbiz.de/10009724980

Stock returns with consumption and illiquidity risks

Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74

Persistent link: https://www.econbiz.de/10010431504

Understanding the ex-ante cost of liquidity in the limit order book : a note

Ruíz Martinez, Miguel A.; Rubio, Gonzalo; Tapia, Mikel - In: Revista de economía aplicada : publicación cuatrimestral 13 (2005) 38, pp. 95-109

Persistent link: https://www.econbiz.de/10003311998

Asset pricing and systematic liquidity risk : an empirical investigation of the Spanish stock market

Martínez Sedano, Miguel Angel; Nieto, Belén; Rubio, … - In: International review of economics & finance : IREF 14 (2005) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10002468118

The reward for trading illiquid maturities in credit default swap markets

Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389

Persistent link: https://www.econbiz.de/10011572470

The quality premium with leverage and liquidity constraints

González-Urteaga, Ana; Rubio, Gonzalo - In: International review of financial analysis 75 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012804007