We study how actively managed equity mutual funds select the liquidity level of their equity portfolio and the effects … of this selection on performance. We provide evidence of five key determinants of portfolio liquidity: portfolio size …, portfolio concentration, the manager’s trading frequency, investment style, and fee structure. We also show that liquidity is a …

We investigate how short sellers strategically exploit the liquidity generated by the arrival of ambiguous information … content. Measures of stock liquidity increase and the news-day return mean-reverts more on days with intangible news releases …, intangibility has a bigger effect on short sellers' trading after an exogenous decrease in liquidity following a deletion of the …

Using a large sample of US active equity mutual funds from 1983 to 2001, we show that portfolio liquidity is actively … managed and chosen as a function of the multiple liquidity needs a fund has. Using portfolio liquidity as a parsimonious proxy … for the severity of liquidity needs, we find that fund performance is independent of liquidity needs. We also find that …

to a permanent change in the composition of institutional ownership and a negative price and liquidity impact. We confirm …

liquidity and fire-sale shocks respond to an increase in informed trading by shifting their portfolios away from stocks with …