We examine the impact of reported insider trading on market liquidity, as measured by an order-size-dependent volume-weighted spread measure, which is called Xetra liquidity measure (XLM). This relationship is scrutinized for the German market both in an event study framework and through a panel...

We examine the relation between market liquidity and ownership concentration and the effect of different types of blockholders on stock market liquidity in Germany. For the overall sample high ownership concentration is negatively related to market liquidity as measured by an...

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this fact or use the historical distribution to empirically...

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations.Using a...

Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency...