Results 11 to 20 of about 245,707 (324)
Oditor, 2018 Liquidity manifests itself as the ability of a, to have, at its disposal, sufficient working capital to continue with its current business activities. Liquidity risk is among leading financial risks in banking and it is extremely important because the ...
Tadić Anđelko
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Pervasive Liquidity Risk [PDF]
SSRN Electronic Journal, 2002 While there is no equilibrium framework for defining liquidity risk per se, several plausible arguments suggest that liquidity risk is pervasive and thus may be priced. For example, market frictions increase the cost of hedging strategies requiring frequent portfolio rebalancing.
B. Espen Eckbo, Øyvind Norli
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Liquidity Risk and Contagion [PDF]
Journal of the European Economic Association, 2005 This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market's demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets. Marking to
Rodrigo Cifuentes +2 more
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Asset Pricing with Liquidity Risk [PDF]
Journal of Financial Economics, 2003 This paper solves explicitly an equilibrium asset pricing model with liquidity risk -- the risk arising from unpredictable changes in liquidity over time.
Lasse Heje Pedersen, Viral V. Acharya
core +6 more sources
Liquidity, Risk, and Occupational Choices. [PDF]
SSRN Electronic Journal, 2010 We explore which financial constraints matter the most in the choice of becoming an entrepreneur. We consider a randomly assigned welfare program in rural Mexico and show that cash transfers signi cantly increase entry into entrepreneurship.
Bianchi, Milo, Bobba, Matteo
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The Risk Components of Liquidity [PDF]
SSRN Electronic Journal, 2008 Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, using more than a decade of US transaction data.
Chollete, Lorán +2 more
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Latency and Liquidity Risk [PDF]
SSRN Electronic Journal, 2019 Latency (i.e. time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity, takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB) might undergo updates, so there is no guarantee that MLOs are filled.
Cartea, A +2 more
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Risk and liquidity in a system context [PDF]
SSRN Electronic Journal, 2008 This paper explores the pricing of debt in a financial system where the assets that borrowers hold to meet their obligations include claims against other borrowers. Assessing financial claims in a system context captures features that are missing in a partial equilibrium setting.
Hyun Song Shin
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Extreme Downside Liquidity Risk [PDF]
SSRN Electronic Journal, 2013 We investigate whether investors receive compensation for holding stocks with strong systematic liquidity risk in the form of extreme downside liquidity (EDL) risk. Following the logic of Acharya and Pedersen (2005), we capture a stock's EDL risk by the lower tail dependence between (i) individual stock liquidity and market liquidity, (ii) individual ...
Stefan Ruenzi +3 more
openaire +17 more sources