Liquid Co-Illiquidity Management

We study the link between illiquidity and co-movement in illiquidity and the way asset managers trade off illiquidity and co-illiquidity in their portfolio allocation decision. By exploring two experiments – the 2005 SHO Regulation and the 2008 short selling ban – we document that in the face of sudden illiquidity shocks, short-term investors are willing to accept higher portfolio co-illiquidity to circumvent an increase in their holdings’ illiquidity

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Year of publication:	2022
Authors:	Rzeznik, Aleksandra ; Hvidkjaer, Soeren ; Massa, Massimo
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Liquidität \| Liquidity \| Betriebliche Liquidität \| Corporate liquidity \| Management \| Bankenliquidität \| Bank liquidity \| Portfolio-Management \| Portfolio selection \| Marktliquidität \| Market liquidity \| Betriebliche Finanzwirtschaft \| Managerial finance

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Extent:	1 Online-Ressource (59 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4247372 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014239172