Narrow search
Showing 1 - 10 of 2,664
Cover Image
Optimal Portfolio Liquidation with Distress Risk
Brown, David B.; Carlin, Bruce Ian; Lobo, Miguel Sousa - In: Management Science 56 (2010) 11, pp. 1997-2014
We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity …
Persistent link: https://www.econbiz.de/10009204343
Cover Image
Liquidating large security positions strategically: a pragmatic and empirical approach
Mönch, Burkart - In: Financial Markets and Portfolio Management 23 (2009) 2, pp. 157-186
Persistent link: https://www.econbiz.de/10004999721
Cover Image
Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
Zhao, Hui; Rong, Ximin - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 179-190
This paper focuses on the constant elasticity of variance (CEV) model for studying the utility maximization portfolio selection problem with multiple risky assets and a risk-free asset. The Hamilton–Jacobi–Bellman (HJB) equation associated with the portfolio optimization problem is...
Persistent link: https://www.econbiz.de/10011046634
Cover Image
Time and the Price Impact of a Trade
Dufour, Alfonso; Engle, Robert F - Department of Economics, University of California-San … - 1999
times when there is an increased presence of informed traders; we interpret such markets as having reduced liquidity. …
Persistent link: https://www.econbiz.de/10010536408
Cover Image
Order book approach to price impact
Weber, P.; Rosenow, B. - In: Quantitative Finance 5 (2005) 4, pp. 357-364
Buying and selling stocks causes price changes, which are described by the price impact function. To explain the shape of this function, we study the Island ECN orderbook. In addition to transaction data, the orderbook contains information about potential supply and demand for a stock. The...
Persistent link: https://www.econbiz.de/10009215090
Cover Image
Ownership structure and stock market liquidity: evidence from Tunisia
Boujelbene, Nadia Belkhir; Bouri, Abdelfatteh; Prigent, … - In: International Journal of Managerial and Financial Accounting 3 (2011) 1, pp. 91-109
The aim of this paper is to identify and analyse the influence of ownership concentration on stock market liquidity in … document that firms with greater insider ownership display significantly lower liquidity. The negative relation between … liquidity and insider ownership is attributable to adverse selection. We also find that the only negative correlation between …
Persistent link: https://www.econbiz.de/10009352428
Cover Image
Broker ID Transparency and Price Impact of Trades: Evidence from the Korean Exchange
Pham, Thu Phuong - School of Economics and Finance, Tasmanian School of … - 2013
. The liquidity price effects are found to be mixed for buys and sells. Research implications: The study supports the … it attracts both informed and liquidity traders, leading to faster price discovery in a more transparent market. However … existing literature by examining the changes in direct measures of the private information effect and liquidity effect of …
Persistent link: https://www.econbiz.de/10010835575
Cover Image
Predicting Equity Liquidity
Breen, William J.; Hodrick, Laurie Simon; Korajczyk, … - In: Management Science 48 (2002) 4, pp. 470-483
In this paper we develop a measure of liquidity, price impact, which quantifies the change in a firm's stock price …
Persistent link: https://www.econbiz.de/10009203885
Cover Image
Changes in REIT liquidity 1988 - 2007: Evidence from daily data
Cannon, Susanne E.; Cole, Rebel A. - Volkswirtschaftliche Fakultät, … - 2008
In this study, we present panel-data evidence on REIT liquidity and its determinants over the 1988 – 2007 period. We … focus upon liquidity measures that do not require micro-structure data (1) to facilitate use of our results as benchmarks … benchmarks that do not require access to costly (and voluminous) micro-structure data. We find that REIT liquidity improved …
Persistent link: https://www.econbiz.de/10008615006
Cover Image
Changes in REIT Liquidity 1988–2007: Evidence from Daily Data
Cannon, Susanne; Cole, Rebel - In: The Journal of Real Estate Finance and Economics 43 (2011) 1, pp. 258-280
Persistent link: https://www.econbiz.de/10009150354