This article investigates mean risk hedging with respect to limited liquidity and studies the impact of different risk … the relevant hedging markets are characterized by limited liquidity. We enhance the approach in Woll and Weber (2015) to a … mean-risk optimization under limited liquidity, including the risk measures absolute and relative Value and Conditional …

bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate … only if it is feasible for him to also affect market liquidity, by either increasing or decreasing it. …

This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate … the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value of the out …-of-sample power of empirical models based on different liquidity measures and find three key results: liquidity timing leads to …

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …

hoarding cascades following local shocks. These networks are therefore characterized by a trade-off between liquidity and …

regulations aimed at reducing counterparty risk and improving liquidity can be ineffcient. Such regulations have a direct positive …