determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …

explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in …

shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …

This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces … a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta … performance spread of 4% in the cross-section of mutual funds over the period 1983-2014. Liquidity risk premia based on …

This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using … pattern of relations between risk and liquidity both individually and in the level of stock portfolios. Also this study …

the distressed arbitrageur faces limited funding liquidity in the form of a simple margin constraint. Finally, we analyse … how the interaction of these two problems, namely fundamental ambiguity and limited funding liquidity, affect the market …

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …