. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … also when taking liquidity considerations into account there is always a stable way to allocate risk. …Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …

. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … also when taking liquidity considerations into account there is always a stable way to allocate risk. …Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …

risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the … performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to … jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal …

against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in …We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … panic states. This identification explains the forecasting ability of known predictors of tail risk of momentum strategy …

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

Support Vector Regression (SVR) algorithm with the risk premium theoretical framework for the forecasting model; consequently …Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a … studies suggested high volatility in the series of returns, broken structures, market volatility, or the impact of financial …