Results 11 to 20 of about 24,822 (265)
Illiquidity and All Its Friends [PDF]
SSRN Electronic Journal, 2010 The recent crisis was characterized by massive illiquidity. This paper reviews what we know and don't know about illiquidity and all its friends: market freezes, fire sales, contagion, and ultimately insolvencies and bailouts.
Tirole, Jean
core +16 more sources
Illiquidity Comovement and Market Crisis. [PDF]
J Syst Sci Complex, 2022 This paper presents a rational expectation equilibrium model to explore how the financial contagion occurs between the unlinked markets that do not share common fundamentals. In the proposed model, the authors assume two of the three risky assets share no common fundamental factors, but are connected by one intermediate asset via cross fundamentals ...
Zeng Q, Zhang Q, Liu S, Yang Y.
europepmc +3 more sources
Journal of Financial Economics, 2023 We study the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias with naive beliefs. The government chooses mandatory contributions to accounts, each with a different pre-retirement withdrawal penalty. Collected penalties are rebated lump sum.
John Beshears +5 more
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The Shadow Costs of Illiquidity
Journal of Financial and Quantitative Analysis, 2022 AbstractWe solve a flexible model that captures transactions costs and infrequencies of trading opportunities for illiquid assets to better understand the shadow costs of illiquidity for different origins of asset illiquidity and heterogeneous investor types. We show that illiquidity that results in suboptimal asset allocation carries low shadow costs,
Kristy A. E. Jansen, Bas J. M. Werker
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Illiquidity, duration and momentum profits: evidence from the Korean stock market [PDF]
Seonmul yeongu, 2021 This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect.
Jaewan Bae, Changjun Lee
doaj +1 more source
Open issues in testing liquidity in frontier financial markets: The case of Serbia [PDF]
Ekonomski Anali, 2010 This paper examines the impact of illiquidity and liquidity risk on expected asset returns in the Serbian stock market. For this market we estimate the conditional Liquidity-adjusted Capital Asset Pricing Model (LCAPM) of Acharya and Pedersen (2005).
Minović Jelena Z., Živković Boško R.
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Illiquidity and Derivative Valuation [PDF]
, 2008 25 ...
Ulrich Horst, Felix Naujokat
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Financial Innovation, 2017 Background We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.
Aron A. Gottesman +2 more
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COVID-19 and Stock Market Liquidity: An Analysis of Emerging and Developed Markets
Scientific Annals of Economics and Business, 2021 Using a panel of indices for five developed market and five emerging markets for the period from 31 December 2019 to 19 June 2020, the relationship between stock market liquidity and COVID-19 pandemic is examined.
Godfrey Marozva +1 more
doaj +1 more source
Liquidating illiquid collateral [PDF]
Journal of Economic Theory, 2012 The author studies a model for the price of a collateral asset of the form \[ P(t) = F(t) + \gamma \big[ X(t) - X(0) \big] + \lambda Y(t), \quad \gamma, \lambda \geq 0, \] where the first term is the fundamental value of the asset, the second term reflects the illiquidity of the collateral asset, and the third term reflects temporary price pressure ...
openaire +2 more sources