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 …

-term investors are sensitive to interest rate movements and supply liquidity, whereas mutual funds, with shorter investment horizon … and benchmark constraints, demand liquidity. Price impact increased post-crisis for all institutions and has remained … higher than the pre-crisis levels, signaling a general decline in bond market liquidity due perhaps to regulatory changes in …

average, institutional shareholders are net sellers during share repurchases. After controlling for liquidity provision and … attributed to institutional investors executing liquidity provision strategies, 8% is explained by institutions reacting to the …

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 …

). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e …

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 …