Liquidity is a risk factor of primary relevance that can significantly affect the asset allocation decisions of … liquidity, intended as the cost needed to liquidate the portfolio. Within this framework, the traditional minimum variance … liquidity over the standard minimum variance solution. Meanwhile, the increase in portfolio risk is limited, generating large …

We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the …' sensitivities to the aggregate funding shocks. Our measure is correlated with other funding liquidity proxies. It delivers a … positive risk premium that cannot be explained by existing risk factors. A model augmented by the proposed funding liquidity …

their liquidity buffers from 1976 to the 2008 crisis. Diversified banks also hold more illiquid small business loans, less … liquid mortgages, and have higher net liquidity creation. During the crisis, however, better diversified banks hoard more … liquidity. These results suggest that diversification increases liquidity risk-taking capacity in normal times, and that …

This paper investigates the relationship between credit risk and liquidity risk, based on the potential interdependence … between liquid asset ratio and non-performing loans ratio, as well as systemic liquidity risk. The data used cover the period … increases, with or without systemic liquidity risk, and consequently that liquidity risk increases as credit risk increases, and …

"liquidity cushion" (e.g. Scholes 2000; Duffie and Ziegler 2003; Brown, Carlin, and Lobo 2010). Consistently, hedge funds …' portfolio composition shows a delayed "flight to liquidity'': the proportion of hedge funds' liquid stock holdings decreased …

Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of …