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...

This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio selection. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we...