We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

effects from insufficient market liquidity. A typical method to manage these price impact effects is to split a given order …

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …

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 …

can be computed explicitly, and obeys a clear relation to the liquidity of the asset and to the autocorrelation of the … alpha forecast signals. Indeed, we find that steady-state optimal turnover is given by γ sqrt(n+1) where γ is a liquidity …

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …

institutions during the resolution of a financial crisis. First, we examine how Morgan coordinated emergency liquidity infusions … applicants for liquidity had participated in earlier bond underwriting syndicates with Morgan. The single denial of aid was to an … or liquidity infusions to Morgan-backed issuers than to issuers backed by other bankers. These findings provide support …

closely tied to fluctuations in the leverage of market-based financial intermediaries. Offering a window on liquidity, the …