We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …

This paper derives an equilibrium asset pricing model with liquidity risk. Liquidity risk is modeled as a stochastic …, which enables the derivation of the risk-return relation for the stock's expected return including liquidity risk. In … contrast to the traditional models without liquidity risk, there is an additional systematic liquidity risk factor which is …

A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity … liquidity measure based on weighted average bid-ask spread is established.Using this liquidity measure, an elementary liquidity … algebra is possible: from the estimation of the execution cost, the liquidity of a basket of instruments is obtained. A …

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … & Portfolio Managers JP Morgan Portfolio Liquidity Assessment Framework & ModelsPortfolio Assets Modeled: 17 Asset Classes: Hedge … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the …

trading frictions on the supply and price of liquidity. On social welfare, I show that the interaction of meeting rate …

examination of the relationship between liquidity and stock returns in the UK market. Previous research on liquidity using high … first construct several microstructure liquidity measures for FTSE All Share stocks, demonstrating that tick data reveal … patterns in intra-day liquidity not observable with lower frequency daily data. Our asymptotic principal component analysis …