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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
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...
Persistent link: https://www.econbiz.de/10013093548
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On the identification of the costs of simultaneous search
Moraga-González, José Luis; Sandor, Zsolt; … - 2011 - Revised: May 2011
parameters of the logit demand model can be identified. …
Persistent link: https://www.econbiz.de/10011380935
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Mergers and innovation portfolios
Moraga-González, José Luis; Motchenkova, Evgenia; … - 2019
effect of mergers makes them consumer welfare improving. With constant elasticity of demand and constant marginal costs, a … demand. The portfolio effect of mergers may dominate the usual market power effects of mergers. …This paper studies mergers in markets where firms invest in a portfolio of research projects of different profitability …
Persistent link: https://www.econbiz.de/10012137259
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In Search of a Risk-Free Asset
Yankov, Vladimir - 2015
To attract retail time deposits, over 7,000 FDIC insured U.S. commercial banks publicly post their yield offers. I document an economically sizable and highly pro-cyclical cross-sectional dispersion in these yield offers during the period 1997-2011. Banks adjusted their yields rigidly and...
Persistent link: https://www.econbiz.de/10013031126
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(Dis)Incentive Effects of Fund Flows in Money Management
Sotes-Paladino, Juan M. - 2019
incentives rather than the consequence of low skills. In the model, a skilled (informed) manager responds to investors' flows …
Persistent link: https://www.econbiz.de/10012905560
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Optimal Investment in Illiquid Market With Search Frictions and Transaction Costs
Choi, Jin Hyuk; Gang, Tae Ung - 2021
We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor's attempt of transaction is successful only at arrival times of a Poisson process, and the investor...
Persistent link: https://www.econbiz.de/10013241772
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Keyword portfolio optimization in paid search advertising
Symitsi, Efthymia; Markellos, Raphaēl N.; Mantrala, … - In: European journal of operational research : EJOR 303 (2022) 2, pp. 767-778
Persistent link: https://www.econbiz.de/10013364031
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Homogenization and asymptotics for small transaction costs
Soner, Halil Mete; Touzi, Nizar - 2012
theory and use the convergence tools from the theory of viscosity solutions. The multidimensional case is studied in our …
Persistent link: https://www.econbiz.de/10009558392
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Utility maximization in an illiquid market
Soner, Halil Mete; Vukelja, Mirjana - 2013
We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid market. A discrete time model is constructed with few additional state variables. The dynamic programming approach is then developed and used for numerical studies. No-arbitrage...
Persistent link: https://www.econbiz.de/10009750653
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Liquidity as an Investment Style
Chen, Zhiwu - 2010
We first show that liquidity, as measured by stock turnover or trading volume, is an economically significant investment style that is distinct from traditional investment styles such as size, value/growth, and momentum. We then introduce and examine the performance of several portfolio...
Persistent link: https://www.econbiz.de/10013138291