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Vovchak, Volodymyr - 2014

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

Persistent link: https://www.econbiz.de/10010258742

Liquidity risk after 20 years

Pástor, Ľuboš; Stambaugh, Robert F. - 2019

Persistent link: https://www.econbiz.de/10012149923

Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494216

Liquidity Risk?

Pontiff, Jeffrey - 2019

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …

Persistent link: https://www.econbiz.de/10012894394

Recognizability and liquidity of assets

Kim, Young-sik; Lee, Manjong - In: The Korean economic review 28 (2012) 2, pp. 241-259

Persistent link: https://www.econbiz.de/10010192142

Implied liquidity: towards stochastic liquidity modelling and liquidity trading

Corcuera, José Manuel; Guillaume, Florence; Madan, Dilip B. - In: International Journal of Portfolio Analysis and Management 1 (2012) 1, pp. 80-91

Persistent link: https://www.econbiz.de/10009706521

Managing risk of liquidity : a new dimension of risk management

Kopitin, Cyril - In: International journal of risk assessment and management … 17 (2013) 2, pp. 89-106

Persistent link: https://www.econbiz.de/10010385916

Measuring corpotate liquidity risk

Jankensgård, Håkan - In: Journal of applied corporate finance : JACF 22 (2010) 4, pp. 103-109

Persistent link: https://www.econbiz.de/10008841313

Liquidity risk in stock returns : an event-study perspective

Cao, Charles Q.; Petrasek, Lubomir - In: Journal of banking & finance 45 (2014), pp. 72-83

Persistent link: https://www.econbiz.de/10010466646

The impact of systemic and illiquidity risk on financing with risky collateral

Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202

Persistent link: https://www.econbiz.de/10010486947