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The Illiquidity of Water Markets [PDF]
Review of Economic StudiesAbstract We investigate the efficiency of a market relative to a non-market institution—an auction relative to a quota—as allocation mechanisms in the presence of frictions. We use data from water markets in southeastern Spain and explore a specific change in the institutions to allocate water. On the one hand, frictions arose because
Donna, Javier, Espin-Sanchez, Jose
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Journal of Financial Stability, 2020
Abstract We propose a theory of corporate liquidity management in which signaling through illiquidity is cheaper than signaling through “skin in the game.” This causes ex post liquidation of worthy projects even when there are enough aggregate resources available for their continuation. We examine the policy remedies for this distortion and consider
José Jorge, Charles M. Kahn
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Abstract We propose a theory of corporate liquidity management in which signaling through illiquidity is cheaper than signaling through “skin in the game.” This causes ex post liquidation of worthy projects even when there are enough aggregate resources available for their continuation. We examine the policy remedies for this distortion and consider
José Jorge, Charles M. Kahn
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Sovereign illiquidity and recessions.
Journal of Economic Dynamics and Control, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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SSRN Electronic Journal, 2018
This paper develops a theory of how heterogeneity in bank capital choices due to differences in beliefs about the likelihood of a future crisis state leads to partially frozen credit markets in a crisis — some banks have continued access to funding liquidity but others do not, creating an “illiquidity fog”.
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This paper develops a theory of how heterogeneity in bank capital choices due to differences in beliefs about the likelihood of a future crisis state leads to partially frozen credit markets in a crisis — some banks have continued access to funding liquidity but others do not, creating an “illiquidity fog”.
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Systemic Illiquidity in the Interbank Network
SSRN Electronic Journal, 2016We study systemic illiquidity using a unique data set on UK banks’ daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity.
Ferrara, Gerardo +3 more
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Illiquidity Premium, Transaction Costs, and Risks of Illiquid Assets
SSRN Electronic Journal, 2015Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of illiquidity premium for infrequently traded asset classes, such as real estate and private equity, presents a challenge to the industry because of opaque information and sporadic trading activities.
Ben Meng, Paul Zhang
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Hedging in an illiquid binomial market
Nonlinear Analysis: Real World Applications, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gökay, Selim, Soner, Halil Mete
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The Illiquidity Premium: International Evidence
SSRN Electronic Journal, 2012Abstract We examine the illiquidity premium in stock markets across 45 countries and present two findings. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on illiquid-minus-liquid stocks or by the coefficient of ...
Amihud, Yakov +3 more
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1979
Hell, according to Jean-Paul Sartre, ‘c’est les autres.’ In his play, ‘Huis Clos,’ Sartre describes hell as four people locked up in a room together until eternity. In a financial world, Sartre’s hell does not depend on a lock and key. Man can be entrapped by illiquidity of personal wealth.
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Hell, according to Jean-Paul Sartre, ‘c’est les autres.’ In his play, ‘Huis Clos,’ Sartre describes hell as four people locked up in a room together until eternity. In a financial world, Sartre’s hell does not depend on a lock and key. Man can be entrapped by illiquidity of personal wealth.
openaire +1 more source