"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 …

We propose a model to help investors address liquidity questions in strategic asset allocation decisions. We consider … various dimensions of liquidity, such as market and funding liquidity, as well as the dynamic nature of liquidity risk and … liquidity risk capacity that any investor can use to unlock the liquidity premium in a transparent and robust way without …

banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided … into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second … dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset …