trading strategies based on the underlying liquidity and volatility of hospitality REITs as compared traditional REITs and the … broader market. Design/methodology/approach The paper uses established microstructure measures for liquidity, trading volumes … liquidity measures post-crisis. The results of the study highlight the differences in trading volumes, liquidity and risk …

related to use of TRS. The relation between REITs risk and REITs liquidity is also explored in this paper by using three … liquidity measures: percentage spread, dollar volume and price impact. GMM regressions are used to explore diversification and …

Purpose – The aim is to study jump liquidity risk and its impact on risk measures: value at risk (VaR) and conditional … VaR (CVaR). Design/methodology/approach – The liquidity discount factor is modelled with mean revision jump diffusion … processes and the liquidity risk is integrated in the framework of VaR and CVaR. Findings – The standard VaR, CVaR, and the …

to the Italian bank risk profile, both in terms of credit and liquidity risks. Design/methodology/approach – To test our … research hypotheses, we adopt ordered probit models, in which we regress the changes in credit risk and liquidity on a set of …’s liquidity position, our results show that securitization improves it both during the pre-crisis and the crisis years. Our …

increase of domestic platforms’ number then has more complex effects on externalities (of information and liquidity). When the … liquidity externalities are low, the diversification of financial platforms increases the number of investors on domestic … centers. When liquidity externalities are not negligible, despite the decrease of fees, this same diversification orientates …

conditional specifications is able to capture the book-to-market equity, liquidity and medium-term momentum effect. The size …