We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity …

Neoclassical analysis of the labor market and its institutions. A systematic development of the theory of labor supply …

This paper investigates the relationship between annual report disclosure, market liquidity, and capital cost for firms … of Disclosure (AIMD). Results show that annual report disclosure enhances market liquidity by changing investors …

We study equilibrium trading strategies, market liquidity, and price efficiency in an economy in which a fraction of … better-informed speculators displays preferences consistent with Kahneman and Tversky’s (1979) Prospect Theory, i.e., loss … lower and (because of procyclical subjective loss probabilities)countercyclical adverse selection-based market liquidity and …

synthetic liquidity indicator that summarises the data on a broad set of market liquidity measures both for sovereign and … corporate fixed income markets in the US. Our index is based on 17 variables that cover the main dimensions of market liquidity …. The methodology used to calculate the index consists of two steps. First, a transformation of the individual liquidity …

, caracterizados por una liquidez de mercado más inestable y propensa a evaporarse ; We analyse the market liquidity level and … resilience of US 10-year Treasury bonds. Having checked that five indicators show inconclusive results on the liquidity level, we … fit a bivariate CC-GARCH model to evaluate its resilience, that is, how liquidity reacts to financial shocks. According to …

This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is … liquidity in the valuation process. Moreover, market liquidity, a measure of investors. willingness to commit resources in the … failure to include a liquidity proxy could underestimate the implied autonomous credit risk. Autonomous credit risk is defined …

liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based … empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected …