This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and … liquidity of stocks. Following Kurz and Motolese (2008), wepropose a simple theoretical model to show that the equilibrium stock …, it is shown in this paper that when market belief is more volatile,trading volume and liquidity decline while price …

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor … in risk management. Literature has already proposed several models to include liquidity risk in the standard Value … benchmarked. This paper performs comparative back-tests of daily risk forecasts for a large selection of traceable liquidity risk …

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market … liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this …, parametric approach based on the Cornish-Fisher approximation to account for non-normality in liquidity risk. We show how to …

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread … measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective … find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for …

determinedby different investor clienteles with different liquidity needs.[...] …

This paper investigates the returns and °ows of German money marketfunds before and during the liquidity crisis of 2007 … papers. By doing sothey outperformed other funds as long as liquidity in the market washigh. Investing in less liquid assets … liquidity caused by the subprime crisis, illiquid fundsexperienced runs, while more liquid funds functioned as a safe haven. …