This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … paper finds that duration factor defined as the difference in returns of short-duration and longduration stocks captures … well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than …

future market returns. This result still holds after controlling for the size or liquidity of the firms or for current …

The concept of bond duration was originally introduced by Macaulay (1938) and nowadays is well- established in the … equities. I derive three candidate models for estimating the duration of a stock. The models are vastly different in their …. Furthermore, I investigate the relationship between the equity duration factor and various common equity factors. Empirical …

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. …

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …

hedge funds provide liquidity in asset markets …

This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using … pattern of relations between risk and liquidity both individually and in the level of stock portfolios. Also this study …