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 …

swaps reduces pension funds' exposure to interest rate risk, it exposes pension funds to liquidity risk because of potential … pension funds to margin call risk that can be as large as 7-19% of total assets under management. When interest rates hike and … this risk materializes, pension funds liquidate parts of their fixed income portfolios, primarily selling safe government …

deterioration of market liquidity (market depth). However, the work by Acerbi and Scandolo (Quantitative Finance, 2008, 8(7), 681 …) highlighted, in addition, the key role that the liquidity policies of the fund can have on the fund value. Funds with the … identical positions but differing liquidity policies have different values. In this paper, we describe and analyze, the …

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public …-Scandolo theory, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

We present a general framework for measuring the liquidity risk. The theoretical framework defines risk measures that … incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity … risk is defined as the risk that a security or a portfolio of securities cannot be sold or bought without causing changes …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

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

underlying assets. Using the SEC Rule on mutual fund liquidity risk management in 2016 as an exogenous shock, I show that mutual …I study how liquidity management affects fragility, or vulnerability to fund flows, in mutual funds and their … stabilized fund flows and flow-performance sensitivity. Overall, liquidity management could be costly for investors …

liquidity to satisfy these liabilities?”; and “What is my optimal allocation to private assets and the composition of the … private and public portfolios?”.“Liquidity” for investors is their degree of confidence that their portfolios will satisfy … of confidence. Risk to the investor is not short-term volatility but failing to meet cash obligations.The framework …