[PDF][PDF] A perspective on liquidity risk and horizon uncertainty

JM Hill - The Journal of Portfolio Management, 2009 - financialmarkets-abc.com
In this period ofthe highest equity market volatihty experienced in our lifetimes, we are
challenged to understand the nature of the episodes of extreme risk comparable to the one …

Risk and liquidity: the keys to stock price behavior

WL Fouse - Financial Analysts Journal, 1976 - Taylor & Francis
Today both clients and practitioners generally recognize that conventional practice has
failed to meet their expectations. Fortunately, a powerful''new?'conceptual foundation exists …

[BOOK][B] Risk and liquidity

HS Shin - 2010 - books.google.com
This book presents the Clarendon Lectures in Finance by one of the leading exponents of
financial booms and crises. Hyun Song Shin's work has shed light on the recent global …

[PDF][PDF] Market liquidity and its incorporation into risk management

A Bervas - Financial Stability Review, 2006 - fondation.banque-france.fr
The excessively optimistic assessment of market liquidity, ie the belief that transactions can
be settled at current prices without any notable delays or transaction costs, may be a serious …

The time-varying liquidity risk of value and growth stocks

F Akbas, E Boehmer, E Genc… - Available at SSRN …, 2010 - papers.ssrn.com
We study the liquidity exposures of value and growth stocks over business cycles. In worst
times, value stocks have higher liquidity betas than in best times, while the opposite holds …

Pervasive liquidity risk

BE Eckbo, O Norli - Available at SSRN 996069, 2002 - papers.ssrn.com
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 …

The pricing of systematic liquidity risk: Empirical evidence from the US stock market

R Gibson, N Mougeot - Journal of banking & finance, 2004 - Elsevier
In this study, we examine whether aggregate market liquidity risk is priced in the US stock
market. We define a bivariate Garch (1, 1)-in-mean specification for the market portfolio …

[PDF][PDF] Liquidity risk and correlation risk: Implications for risk management

V Acharya, S Schaefer - 2006 - pages.stern.nyu.edu
There has been a surge in the recent academic literature on issues concerning liquidity
(starting with Amihud and Mendelson, 1986) and liquidity risk (Pastor and Stambaugh, 2003 …

Measuring a premium for liquidity risk

M Anson - The Journal of Private Equity, 2010 - JSTOR
Liquidity risk is a separate risk distinct from the economic fundamentals that determine
valuations in the stock and bond markets. It is a risk that arises from investing in an asset that …

[CITATION][C] Portfolio liquidity

M Leibowitz, A Bova - Morgan Stanley Research Portfolio Strategy, 2009